(8-3) Black-Scholes Model INTERMEDIATE PROBLEMS 3-4 Assume that you have been given the following information on Purcell Corporation's call options: Strike price of option = $15 Risk-free rate 6% Current stock price = $15 Time to maturity of option = 6 months Variance of stock return = 0.12 d = 0.24495 d. = 0.00000 N(d) = 0.59675 N(d) = 0.50000 According to the Black-Scholes option pricing model, what is the option's value