What would be the value of the option

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Reference no: EM131375824

Assume you have been given the following information on Purcell Industries:

Current stock price = $15
Time to maturity of option = 6 months
Variance of stock return = 0.12
d₂ = 0.00000
N(d₂) = 0.50000
Exercise price of option = $15
Risk-free Rate = 6%
d₁ = 0.24495
N(d₁) = 0.59675

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

Reference no: EM131375824

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