You own a one-year European call option to buy one acre of Los Angeles real estate. The exercise price is $2.06 million. Suppose the land is occupied by a warehouse generating rents of $180,000 after real estate taxes and all other out-of-pocket costs. The present value of the land plus the warehouse is $1.76 million. The annual standard deviation is 15% and the interest rate is 13%.

How much is your call worth?(Enter your answer in millions. Do not round intermediate calculations. Round your answer to 4 decimal places.)

Call value$million