Chapter 8 Financial Options and Applications in Corporate Finance 369 INTERMEDIATE PROBLEMS 3-4 (8-3) Assume that you have been given the following information on Purcell Industries: ack-Scholes Model Current stock price $15 Time to maturity of option = 6 months Variance of stock return = 0.12 d, 0.24495 Strike price of option Risk-free rate = 6% $15 N(d) = 0.59675 N(d) = 0.50000 0.00000 According to the Black-Scholes option pricing model, what is the option's value