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You have been given the following information on Claiborne Industries: Current stock price = $33 Options exercise price = $33 Time until expiration of option
You have been given the following information on Claiborne Industries: Current stock price = $33 Options exercise price = $33 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 5.5% Variance of stock price = 0.09 d1 = 0.16711 d2 = 0.02061 N(d1) = 0.56636 N9d2) = 0.80822 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.
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