The stock of Nugents Nougats currently sells for $49 and has an annual standard deviation of 50 percent. The stock has a dividend yield of 3 percent, and the risk-free rate is 4.6 percent. What is the value of a European call option on the stock with a strike price of $45 and 75 days to expiration? (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "$" sign in your response.)

Value of a European call option

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