According to the Black-Scholes Option Pricing Model, as the variance, sigma^2, increases, the value of the call option Parrot Transport Corp. has a current stock price of $28.00. A call option on this stock has an exercise price of $28.00 and 0.25 year to maturity. The variance of the stock price is 0.09, and the risk-free rate is 6%. You calculate d_1 to be 0.18 and N(0.18) to be 0.5714. Therefore, d_2 will be 0.03 and N(0.03) will be 0.5120. Using the Black-Scholes Option Pricing Model, what is the value of the option? $1.783 $1.408 2.065 $1.877