Black Scholes Value
CHAPTER 8 A????1 PROBLEM A????1 (8-3) – Assume that you have been given the following information on Purcell industries.
Current stock price =$15 Strike price option =$15
Time to maturity of option = 6 month Risk free rate =6%
Variance of stock return = 0.12
dr = 0.24495 N(dr) = 0.59675
dr = 0.00000 N(d2) = 0.50000
According to the black-Scholes option pricing model, what is the option value?