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? Group of answer choices $3.82 $3.47 $3.12 $4.20 $2.81