Theoretical Price of European Call Option Using Black-Scholes Model

ABC Corporation is considering an investment in a European call option on its stock, which is currently trading at $50. The option has a strike price of $55, and it expires in six months. The risk-free interest rate is 4% per annum, and the standard deviation of the stock's returns is 20%.

Using the Black-Scholes Model, calculate the theoretical price of the call option. You need to apply the Black-Scholes formula:

C = S₀N(d₁) - Xe^-rtN(d₂)

where:

d₁ = (ln(S₀/X) + (r + σ²/2)t) / (σ√t)

d₂ = d₁ - σ√t

In this case, you'll need to calculate N(d₁) and N(d₂) based on the calculated values. Choose the correct theoretical price for the call option from the following options.