An analAn analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following dа ta: · The price of the stock is $40. · The strike price of the option is $40. · The option matures in 3 months (t = 0.25). · The standard deviation of the stock's returns is 0.40, and the variance is 0.16. · The risk-free rate is 6%. Given this information, the analyst then calculated the following necessary components of the Black-Scholes model: · d1 = 0.175 · d2 = - 0.025 · N (d1) = 0.56946 · N (d2) = 0.49003 N (d1) and N (d2) represent areas under a standard normal distribution function. Using the Black-Scholes model, what is the value of the call option?
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