been given the following information on Claiborne Industries: Current stock price = $32 Option’s exercise price = $32 d1 = 0.1735 d2 = 0.02735 N(d)1 = 0.56960 N(d)2 = 0.51091 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.09 Using the Black-Scholes Option Pricing Model, what would be the option’s value? Round intermediate calculations to 6 decimal places. Round your answer to

been given the following information on Claiborne Industries: Current stock price = $32 Option’s exercise price = $32 d1 = 0.1735 d2 = 0.02735 N(d)1 = 0.56960 N(d)2 = 0.51091 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.09 Using the Black-Scholes Option Pricing Model, what would be the option’s value? Round intermediate calculations to 6 decimal places. Round your answer to

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 3Q

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