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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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