Assume that options on a non dividend paying stock with price of USD 100 have

Assume that options on a non dividend paying stock with price of USD 100 have a time to expiry of half a year and a strike price of USD 110. The risk-free
rate is 10%. Further N(d1) = 457185 and N(d2) = 0.374163.

Which of the following values is closest to the Black-Scholes values of these options?

a. Value of American call option is USD 6.56 and of American put option is USD 12.0

b Value of American call option is USD 5.50 and of American put option is USD 12.0

c. Value of American call option is USD 6.56 and of American put option is USD 10.0

d. Value of American call option is USD 5.50 and of American put option is USD 10.0