An analyst is interested to value call options on the stock of Parnes Inc. The analyst has accumulated the following information:

• The price of the stock is $40.
• The strike price is $40.
• The option matures in 3 months.
• The standard deviation of the stocks returns is 0.40.
• The risk-free rate is 12 percent per year.

Using the Black-Scholes model, what is the value of the call option?