Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Round your final answer to 2 decimal places. Do not round intermediate calculations.)

Stock price	$	39
Exercise price	$	34.71
Interest rate		9.9	%
Time to expiration		2.5
Standard deviation of stocks returns		25.5	%

Answer the following

d1
d2
N(d1)
N(d2)
Call Value

d1 =	ln(S0 /X) + (r - + 2/2 )T
	TT

d₂ = d₁ - TT

C₀ = S₀e^-T N(d₁) - Xe^-rT N (d₂)

rev: 05_06_2017_QC_CS-87699, 0