You have been given the following information on Claiborne Industries: Current stock price = $36 Option's exercise price = $36 Time until expiration of option 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.07 d = 0.17928 d = 0.04628 N(d) = 0.57114 N(d2) = 0.51846 Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places. $ You have been given the following information on Claiborne Industries: Current stock price = $36 Option's exercise price = $36 Time until expiration of option 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.07 d = 0.17928 d = 0.04628 N(d) = 0.57114 N(d2) = 0.51846 Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places. $