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Financial Derivatives and Risk Management Assignment

Description: This assignment explores financial derivatives and strategies for managing risk in investment portfolios.

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Financial Derivatives and Risk Management Assignment4.Black-Scholes modelAssume you have been given the following information on Purcell Industries:Current stock price = $16Exercise price of option = $10Time to maturity of option = 6 monthsRisk-free rate = 8%Variance of stock price = 0.14d1= 2.05992d2= 1.79534N(d1) = 0.98N(d2) = 0.96Using the Black-Scholes Option Pricing Model, what would be the value of the option? Round youranswer to two decimal places.$________Answer:

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