Attempts Keep the Highest/1 11. Derivatives and Risk Management: Option Value You have been given the following information on Claiborne Industries: Current stock price = $33 Option's exercise price = $33 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 4.5% Variance of stock price = 0.08 di = 0.15010 d2 = 0.00560 N(di) = 0.55966 N(d2) = 0.50224 Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places. $