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 0.50, and the variance is 0.25.
	The risk-free rate is 6%.

Given this information, the analyst then calculated the following necessary components of the Black-Scholes model:

	d1 = 0.1850
	d2 = -0.0650
	N(d1) = 0.5734
	N(d2) = 0.4741

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.	$3.47
	b.	$3.82
	c.	$4.25
	d.	$6.87
	e.	$4.20