# Option's Value using Black Scholes Pricing Model

Assume that 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 mos Risk-free rate =6%

Variance of stock return=0.12

d1 = 0.24495 N(d1) =0.59675

d2 = 0.00000 N(d2)= 0.50000

According to the Black-Scholes option pricing model, what is the options' value?

© BrainMass Inc. brainmass.com June 4, 2020, 2:09 am ad1c9bdddfhttps://brainmass.com/business/black-scholes-model/option-s-value-using-black-scholes-pricing-model-442168

#### Solution Summary

This solution is a step-by-step calculation of the following question: Assume that 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 mos Risk-free rate =6%

Variance of stock return=0.12

d1 = 0.24495 N(d1) =0.59675

d2 = 0.00000 N(d2)= 0.50000

According to the Black-Scholes option pricing model, what is the options' value?