Use Black-Scholes Option (European) Pricing Model.

• Suppose a stock is trading today for $32.00.
• Stock annual volatility is 25.00%, has a dividend yield of 0.00%.
• Suppose the annual risk-free rate is 4.50% and the option exercize price is $34.00.
• Option expires in 0.50 years (or 180 days).

How much is the value of this Call option?

• Enter your answer in the following format: 1.23
• Hint 1: The answer is between 1.66 and 1.92;
• Hint 2: N(d1) =0.4494.