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?

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 3Q

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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