Using the Black-Scholes option pricing model, calculate the value of a European call option on S&P500 under the following parameters. Current value of S&P500 is $940, interest rate is 0.17% per year, annualized volatility of S&P500 is 24%, option strike is $950, and option expiration is in 3 months. (These are data from the financial crisis period.)

S = 940

X = 950

r = .0017

sigma = 0.24

T = 0.25