Derivatives and Risk Management:

Option Value You have been given the following information on Claiborne Industries:

Current stock price = $38

Options exercise price = $38

Time until expiration of option = 3 months, or 0.25 of a year

Risk-free rate = 5%

Variance of stock price = 0.09

d1= 0.15833

d2= 0.00833

N(d1)= 0.56290

N(d2) = 0.50332

Using the Black-Scholes Option Pricing Model, what would be the options value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places.

$_____