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Assume that you have been given the following information on Purcell Industries: Current stock price = $15 Strike price of option = $13 Time to

Assume that you have been given the following information on Purcell Industries:

Current stock price = $15 Strike price of option = $13
Time to maturity of option = 9 months Risk-free rate = 6%
Variance of stock return = 0.12
d1 = 0.77700 N(d1) = 0.78142
d2 = 0.47700 N(d2) = 0.68332

According to the Black-Scholes option pricing model, what is the option's value? Do not round intermediate calculations. Round your answer to the nearest cent. Use only the values provided in the problem statement for your calculations.

$

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