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Chapter 8 Financial options and Applications in Corporate Finance 369 INTERMEDIATE PROBLEMS 3-4 Assume that you have been given the following information on Purcell Industries.

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Chapter 8 Financial options and Applications in Corporate Finance 369 INTERMEDIATE PROBLEMS 3-4 Assume that you have been given the following information on Purcell Industries. Current stock price $15 Strike price of option $15 Time to maturity of option 6 months Variance of stock return 0.12 Risk-free rate 6% 0.24495 N(d1) 0.59675 d2 0.00000 According to the Black-Scholes option pricing model, what is the option's value

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