Assume that you have been given the following information on Purcell Industries call options Current stock price $15 Strike price of option $15 Time to maturity of option 6 months Risk free rate 6 Variance of stock return 0 12 d 0 24495 d 0 00000 N(d) 0 59675 N(d2) 0 50000 According to the Black Sc...

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Assume that you have been given the following information on Purcell Industries call options: Current stock price

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Intermediate Financial Management

ISBN: 9781337395083

13th Edition

Authors: Eugene F. Brigham, Phillip R. Daves

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Question Posted: Mar 10, 2024 12:00 AM

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Assume that you have been given the following information on Purcell Industries call options: Current stock price

Question:

Current stock price = $15 Strike price of option = $15 Time to maturity of option == 6 months Risk-free rate = 6% Variance of stock return = 0.12 d = 0.24495 d = 0.00000 N(d) = 0.59675 N(d2) = 0.50000 According to the Black-Scholes option pricing model, what is the option's value?

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Intermediate Financial Management

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