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 Time to maturity of option 6 months Variance of stock return 0.12 d 0.24499 d2 = 0.00000 (8-3) Model Strike price of option Risk-free rate = 6% $15 N(d,) 0.59675 N(d) = 0.50000 According to the Black-Scholes option pricing model, what is the option's value