BuyFind

Fundamentals of Financial Manageme...

14th Edition
Eugene F. Brigham + 1 other
Publisher: Cengage Learning
ISBN: 9781285867977
BuyFind

Fundamentals of Financial Manageme...

14th Edition
Eugene F. Brigham + 1 other
Publisher: Cengage Learning
ISBN: 9781285867977

Solutions

Chapter
Section
Chapter 18, Problem 4P
Textbook Problem

BLACK-SCHOLES MODEL Assume that you have been given the following information on Purcell Industries:

Current stock price = $15 Exercise price of option = $15
Time until expiration of option = 6 months Risk-free rate = 10%
Variance of stock price = 0.12 d1 = 0.32660
d2 = 0.08165 N(d1) = 0.62795
N(d2) = 0.53252  

Using the Black-Scholes Option Pricing Model, what is the value of the option?

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