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Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $12 Strike price of option = $12

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.

$

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