1.Following are the input variables for call option

Stock Price (P) = $40

Time to Expiration for Option (t) = 9 months = 0.75 years

Exercise Price (X) = $37

Risk-Free Rate (Rf) = 3%

Stock Return Standard Deviation = 0.69

1.1Based on the Black-Scholes Model, what is the value of the call option?

VC = P[N(d1)] - Xe -rRFt[N(d2)]

d1 =ln(P/X) + [rRF + (s2/2)]t / std * sqrt time

d2 = d1 - st 0.5