The Black-Scholes option pricing model (OPM) was developed in 1973. The creation of the Black-Scholes OPM played a significant role in the rapid growth of options trading. The Black-Scholes model is based on the concept of a riskless hedge. An investor can create a riskless hedge by purchasing shares of stock and simultaneously call options on that stock. According to the Black-Scholes Option Pricing Model, as the variance, 2, increases, the value of the call option Purple Pigeon Bird Seed Company has a current stock price of $32.00. A call option on this stock has an exercise price $32.00 and maturity. The variance of the stock price is 0.04, and the risk-free rate is 7%. You calculate d1 to be 0.32 and N(0.32) to be 0.6255. Theref d2 wil be 0.18 and N(0.18) will be 0.5714. Using the Black-Scholes Option Pricing Model, what is the value of the option? (Note: Use 2.7183 as the approximate value of e.) $2.348 $2.465$2.700 $1.761