The current price of a non-dividend-paying stock is $263 and the annual standard deviation of the rate of return on the stock is 60%. A European call option on the stock has a strike price of $350 and expires in 0.25 years. The risk-free rate is 4% (continuously compounded).

What is the value of N(d₁) in the Black-Scholes formula? Use Excel's NORM.S.DIST(d₁, true) function.

What is the value of N(d₂)?

What should be the price (premium) of the call option?