Question 10: Taggart Transcontinental's stock has a volatility of 25% and a current stock price of $40 per share. Taggart pays no dividends and the risk-free interest rate is 4%. What is the Black- Scholes value of a one-year, at-the-money call option on Taggart stock? Calculate and explain the effect on the price of this call option due to an increase in the risk-free rate from 4% to 6%? (10 marks)