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Determining black-scholes option pricing model

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

Current stock price = $18	Exercise price of option = $12
Time to maturity of option = 6 months	Risk-free rate = 8%
Variance of stock price = 0.12	d₁ = 1.94108
d₂ = 1.69613	N(d₁) = 0.97
N(d₂) = 0.96

Using the Black-Scholes Option Pricing Model, what would be the value of the option? Round your answer to two decimal places.

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Solution Preview :

Prepared by a verified Expert

Finance Basics: Determining black-scholes option pricing model

Reference No:- TGS0675706

Have a Question? (oR Write a Review)

Recent Questions Asked Finance Basics

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Solution Preview :

Prepared by a verified Expert

Finance Basics: Determining black-scholes option pricing model

Reference No:- TGS0675706

Recent Questions Asked Finance Basics

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Q : Future value of cash flow stream

Q : The balance in the manufacturing overhead account

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