Current stock price 16 strike price of option 12 time to

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Assume you have been given the following information on Purcell Industries: Current stock price = $16 Strike price of option = $12 Time to maturity of option = 3 months Risk-free rate = 6% Variance of stock return = 0.15 d1 = 0.29337 N(d1) = 0.63848 d2 = 0.0573 N(d2) = 0.43656 According to the Black-Scholes option pricing model, what is the option's value? Round your answer to the nearest cent.

Reference no: EM13567460

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