NNT Ltd pays no dividends and has a current stock price of $20 per share. Its returns have an annual volatility of 15% and the risk free interest rate is 4% per annum.

(i). Calculate the value of a one-year at-the-money call option using the Black Scholes model.

Note: Keep two decimal places in the intermediate results and the final answer. Cumulative Normal Distribution Table N(d) N(d) 0. 16 0.564 0.32 0.626 0.17 0.567 0.33 0.629 0. 18 0.571 0.34 0.633 0.19 0.575 . . . 0.35 0.637 0.2 0.579 0.36 0.641 0.21 0.583 0.37 0.644