When the non-dividend paying stock price is $20, the strike price is $20, the risk-free rate is 6%, the volatility is 20% and the time to maturity is 3 months, which of the following is the price of a European call option on the stock?
(Note: N (*) represent cumulative normal density function.)
a. 20*N (0.1) - 19.7*N (0.2)
b. 19.7*N (0.2) - 20N * (0.1)
c. 19.7*N (0.1) - 20N * (0.2)
d. 20N * (0.2) - 19.7N * (0.1)
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