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Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $15 Time until expiration of option =
Black-Scholes Model Assume that you have been given the following information on Purcell Industries:
Current stock price = $15 Time until expiration of option = 6 months Variance of stock return = 0.12
Exercise price of option =$15 Risk-free rate = 10% d1 = -0.32660 d2 = -0.08165
N(d1) = 0.62795 N(d2) = 0.53252
Using the Black-Scholes option pricing model, what is the value of the option? Round your answer to the nearest cent.
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