(83) Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock...

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(8–3)

Black-Scholes Model Assume that you have been given the following information on Purcell Industries:

Current stock price = $15 Strike price of option = $15 Time to maturity of option = 6 months Risk-free rate = 6%

Variance of stock return = 0.12 d1 = 0.24495 N(d1) = 0.59675 d2 = 0.00000 N(d2) = 0.50000 According to the Black-Scholes option pricing model, what is the option’s value?

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