Consider a European call option on a non-dividend paying stock. The current price of the stock underlying the option is $45. The strike price of the option is $41. The risk-free rate is 7% per year. The volatility is 25% per year. The option expires in 9 months.

E) Analyze the effect of a change in the volatility on the call price. Fill in the table. Create a plot of volatility (x-axis) vs. call option price (y-axis).

Volatility	d1	N(d1)	d2	N(d2)	Call price
0.10
0.15
0.20
0.25
0.30
0.35
0.40
0.45