### Value option with Black-Scholes Option Pricing Model

Assume 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 Risk-free rate = 6% Variance of stock return = 0.12 d1 = 0.24495 d2 = 0.00 N(d1) = 0.59675 N(d2) = 0.5000 Using