The current price of a non-dividend paying stock is $75. The annual volatility of the stock is 18.25%, and the current continuously compounded risk-free interest rate is 5%. A 3-year European call option exists that has a strike price of $90. Assuming that the price of the stock will rise or fall by a proportional amount each year, and the risk neutral probability that the stock will rise is approximately 60%, what is the value of the European call option? | Financial Risk Manager Part 1 Quiz