#14

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

Current stock price = $12 Strike price of option = $12

Time to maturity of option = 5 months Risk-free rate = 7%

Variance of stock return = 0.16

d1 = 0.242061 N(d1) = 0.595634

d2 = -0.016137 N(d2) = 0.493562

According to the Black-Scholes option pricing model, what is the option's value? Round your answer to the nearest cent.