Assume you have been given the following information on Purcell Industries:
Current stock price = $15 Strike price of option = $15
Time to maturity of option = 6 months Risk-free rate = 6%
Variance of stock return = 0.12 d1 = 0.24495
d2 = 0.00 N(d1) = 0.59675
N(d2) = 0.5000
Using the Black-Scholes Option Pricing Model, what would be the value of the option?© BrainMass Inc. brainmass.com June 24, 2018, 7:11 am ad1c9bdddf
Black-Scholes Option Pricing Model has been used for valuing option on Purcell Industries.