Question: Assume you have been given the following information on Purcell Industries: Current stock price = $15........................,,,,,..Exercise price of option = $15 Time to maturity of

Assume you have been given the following information on Purcell Industries:

Current stock price = $15........................,,,,,..Exercise price of option = $15

Time to maturity of option = 6 .....................months Risk-free rate = 6%

Variance of stock return = 0.12 .....................d1 = 0.24495

d2 _ 0.00000 N(d1) _ 0.59675 .........................N (d2) = 0.50000

Using the Black-Scholes Option Pricing Model, what would be the value of the option?

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