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Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $16 Strike price of option = $12

Black-Scholes Model

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

Current stock price = $16 Strike price of option = $12
Time to maturity of option = 2 months Risk-free rate = 4%
Variance of stock return = 0.13
d1 = 2.073304 N(d1) = 0.980928
d2 = 1.926108 N(d2) = 0.972955

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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