Question: Problem 8-3 Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $13 Strike price of option

Problem 8-3 Black-Scholes Model

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

Current stock price = $13 Strike price of option = $13
Time to maturity of option = 4 months Risk-free rate = 8%
Variance of stock return = 0.11
d1 = 0.235005 N(d1) = 0.592898
d2 = 0.043519 N(d2) = 0.517356

According to the Black-Scholes option pricing model, what is the option's value? Round your answer to the nearest cent.

$

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