Black-Scholes Option Pricing Model
Discipline: Business Studies
Type of Paper: Essay (any type)
Academic Level: High school
Paper Format: APA
Pages: 2
Words: 550
Question
Assume you have
been given the following information on Purcell Industries:
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 d1 = 0.24495
d2 = 0.00 N(d1) = 0.59675
N(d2) = 0.5000
Using the Black-Scholes Option Pricing Model, what would be the value of the option?