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Problem 8-3 Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $13 Strike price of option
Problem 8-3 Black-Scholes Model
Assume that you have been given the following information on Purcell Industries:
Current stock price = $13 | Strike price of option = $13 |
Time to maturity of option = 4 months | Risk-free rate = 8% |
Variance of stock return = 0.11 | |
d1 = 0.235005 | N(d1) = 0.592898 |
d2 = 0.043519 | N(d2) = 0.517356 |
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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