Lissa Co.'s stock price is currently $30.00. A 6-month call option on Lissa's stock has a strike price of $25.75 and has an expected volatility of 40% (i.e., expected standard deviation = 40%). The risk-free rate is 6%. According to the Black-Scholes option pricing model, what is the value of the option? Do not round your intermediate calculations.
A. $5.16
B. $6.46
C. $7.21
D. $6.22
E. $5.66
Answer: D
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