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Black-Scholes Model Assume that you have been given the following information on Purcell Industries: Current stock price = $12 Strike price of option = $14 Time to maturity of option = 3 months Risk-free rate = 7% Variance of stock return = 0.13 d1 = -0.667863 N(d1) = 0.252111 d2 = -0.84814 N(d2) = 0.19818 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.

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