The Black-Scholes formula for a European call option on a non-dividend-paying stock is:C=SoN(d₁)-Xe-rTN(d₂), where S0 is the stock price, X is the strike price, T is the time to maturity of the option , N(.) is the cumulative standardized normal distribution,d1=(ln(S0/x)+r+ ²/2)T/*sqaureroot of T and d₂=d₁- *squareroot of T, r is the risk free rate of interest and is volatility.

Use the Black-Scholes formula to find the price of a European call option on a non-dividend-paying stock when the stock price is $26, the strike price is $25, the risk-free interest rate is 6% per annum, the volatility is 15% per annum, and the time to maturity is 3 months.