You are planning to invest in a call option for which the corresponding stock has yet to issue a dividend. The spot price is $40 per share and its annualized volatility is measured at 68%. The risk free rate is currently 2.5%, while the option tranche you are considering has a strike price of $50 and 18 months to expiration. What is the intrinsic value of the call?
Please show work and write out steps.