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Taggart Transcontinental's stock has a volatility of 25% and a current stock price of $40 per share. Taggart pays no dividends. The risk-free interest rate

Taggart Transcontinental's stock has a volatility of 25% and a current stock price of $40 per share. Taggart pays no dividends. The risk-free interest rate is 4%. The Black-Scholes value of a one-year, at-the-money call option on Taggart stock is closest to:
A. $4.75
B. $1.45
C. $3.15
D. $9.50

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