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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?

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?

$2.19