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    Option's Value using Black Scholes Pricing Model

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    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?

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    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

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