Assume that you have been given the following information on Purcell Industries' call options: Current stock price = $14 Strike price of option = $13 Time to maturity of option = 9 months Risk-free rate = 6% Variance of stock return = 0.16 d1 = 0.51704 N(d1) = 0.69744 d2 = 0.17063 N(d2) = 0.56774 According to the Black-Scholes option pricing model, what is the option's value?
Assume that you have been given the following information on Purcell Industries' call options: Current stock price = $14 Strike price of option = $13 Time to maturity of option = 9 months Risk-free rate = 6% Variance of stock return = 0.16 d1 = 0.51704 N(d1) = 0.69744 d2 = 0.17063 N(d2) = 0.56774 According to the Black-Scholes option pricing model, what is the option's value?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Assume that you have been given the following information on Purcell Industries' call options:
| Current stock price = $14 | Strike price of option = $13 |
| Time to maturity of option = 9 months | Risk-free rate = 6% |
| Variance of stock return = 0.16 | |
| d1 = 0.51704 | N(d1) = 0.69744 |
| d2 = 0.17063 | N(d2) = 0.56774 |
According to the Black-Scholes option pricing model, what is the option's value?
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