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2. An analyst wants to use the Black-Scholes model to value call options on the...

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2. An analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following data: 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%. Using the Black-Scholes model what is the value of the call option

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