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%.

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?

a. $2.81

b. $3.12

c. $3.82

d. $3.47

e. $4.20