Problem:
Lissa Co.'s stock price is currently $30.25. A 6-month call option on Lissa's stock has a strike price of $25 and has an expected volatility of 40% (i.e., expected standard deviation = 40%). The risk-free rate is 6%.
Required:
Question: According to the Black-Scholes option pricing model, what is the value of the option?
Note: Please show how to work it out.