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Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $17 Strike price of option = $11

Black-Scholes Model

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

Current stock price = $17 Strike price of option = $11
Time to maturity of option = 4 months Risk-free rate = 7%
Variance of stock return = 0.15
d1 = 2.162955 N(d1) = 0.984728
d2 = 1.939348 N(d2) = 0.973771

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

$

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