Black Scholes Value CHAPTER 8 A????1 PROBLEM A????1 (8-3) – Assume that you have been given the foll 1 answer below »

Black Scholes Value
CHAPTER 8 A????1 PROBLEM A????1 (8-3) – Assume that you have been given the following information on Purcell industries.
            Current stock price                  =$15                Strike price option                   =$15
            Time to maturity of option      = 6 month        Risk free rate =6%
            Variance of stock return         = 0.12
            dr = 0.24495                                                                                       N(dr) = 0.59675         
            dr = 0.00000                                                                                       N(d2) = 0.50000
According to the black-Scholes option pricing model, what is the option value?