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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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