Now suppose we have a more tailored model for stock A of the previous question. This time we assume stock A (log) return follows normal distribution with 45% annualized standard deviation (45% volatility). Similar to previous parts, assume the stock A is last time sold at 43.26$, and that the risk-free rate is 1%. 6) Using Black-Scholes-Merton model, calculate the price of a European call option with one-year time to maturity and strike price of 35$