Suppose you received the following information about Purcell Industries: Current share price = $15; Option strike price = $15; Option expiration =6 months; Risk-free rate =6% Stock return variance =0.12; d1 =0.24495; d2 = 0.00000; N(d1) =0.59675; N(d2)=0.50000. 

What will be the value of the option using the option pricing model of Black-Scholes?

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Using the BlackScholes option pricing model the value of the option can be calculat... View the full answer