Assume that you have been given the following information on Purcell Industries:
Current stock price = $15.....................Exercise price of option = $15
Time until expiration of option = 6months..............Risk-free rate = 10
Variance of stock price = 0.12...................................d1 = 0.32660
d2 = 0.08165...................................................N(d1) = 0.62795
N(d2) = 0.53252
Using the Black-Scholes Option Pricing Model, what is the value of the option?