An analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following data: The price of the stock is $40. The strike price of the option is $40. The option matures in 3 months (t = 0.25). The standard deviation of the stock's returns is 0.40, and the variance is 0.16. The risk-free rate is 6%. Given this information, the analyst then calculates the following necessary components of the Black-Scholes model: d₁ = 0.175 d₂ = 0.025 N(d₁) = 0.56946 N(d₂) = 0.49003 Using the Black-Scholes model, what is the value of the call option?