Question

Check My Work еВook Problem Walk-Through Black-Scholes Model Assume that you have been given the following information on Purcell Industries call options: Strike price of option $12 Current stock price $13 Time to maturity of option 6 months Risk-free rate 6% Variance of stock return = 0.14 1 0.54821 N(di) 0.70823 d2 0.28363 N(d2) 0.61165 According to the Black-Scholes option pricing model, what is the option's value? Do not round intermediate calculations. Round your answer to the nearest cent. Use only the values provided in the problem statement for your calculations. $

Answer 1

A В с Black-Scholes Option Pricing Model 1 2 3 Time to Expiration 4 Exercise Price 5 Current Stock Price 6 Volatility 7 Risk-Free Rate 0.50 $12 $13 37.42%0.14^0.5 6% 8 9 d1 0.54821(LN(B5/B4)+(B7+0.5*(B6A2))*B3)/(B6*(B3^0.5)) 0.28363(B9-B6*(B3A0.5)) 0.70823NORMSDIST(B9) 0.61165 NORMSDIST(B10) 10 d2 11 N(d1) 12 N(d2) 13 Value of a call option $ 2.08 (B5*B11)- (B4/ (EXP(B7*B3)))"B12)

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