You have been given the following information on Claiborne Industries: Current stock price = $32 Option’s exercise price = $32 d1 = 0.1735 d2 = XXXXXXXXXX N(d)1 = XXXXXXXXXX N(d)2 = XXXXXXXXXX Time...

You have 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 two decimal places.

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