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What would be the value of the option

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Reference no: EM131100854

Assume you have been given the following information on Purcell Industries:
Current stock price = $15 Exercise price of option = $15
Time to maturity of option = 6 months Risk-free rate = 6%
Variance of stock return = 0.12 d1 = 0.24495
d2 _ 0.00000 N(d1) _ 0.59675
N (d2) = 0.50000
Using the Black-Scholes Option Pricing Model, what would be the value of the option?

Reference no: EM131100854

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