Use the Black-Scholes model to value call options on the stock of Ledbetter Inc. 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 stocks returns is 0.40, and the variance is 0.16.

The risk-free rate is 6%.

Given this information, the analyst then calculated the following necessary components of the Black-Scholes model:

d₁ = 0.175

d₂ = -0.025

N(d₁) = 0.56946

N(d₂) = 0.49003

N(d₁) and N(d₂) represent areas under a standard normal distribution function. Using the Black-Scholes model, what is the value of the call option?