Problem: Black-Scholes Model Assume that 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=10%
variance of stock price = 0.12 d1=.24495
d2 =0.08165 N(d1)=0.62795
N(d2)=0.53252
Using the Black-Scholes Option Pricing Model, what would be the value of the option?