You have been given the following information on Claiborne Industries: Current stock price =$40 Option's exercise price =$40 Time until expiration of option =3 months, or 0.25 of a year Risk-free rate =4% Variance of stock price =0.08 d1=0.14147 d2=0.00353 N(d1)=0.55625 N(d2)=0.49859 Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places