Explore BrainMass

Purcell Industries: Black Scholes Option Pricing Model

Assume you have been given the following information on Purcell Industries

Current Stock Price= $15 Exercise Price Option=$15
Time to maturity of option=6 months Risk-free rate=6%
d2=.00000 d1=.24495
N(d2)=.50000 N(d1)=.59675

Using the Black-Scholes Option Pricing Model, what would be the value of the option?

Solution Preview

Please see the attached file

P(Stock Price) = $15; X(Exercise Price) = $15; t = 0.5(in years = ...

Solution Summary

The solution explains concisely how to calculate the value of the option using the Black-Sholes Option Pricing Model.