Assume 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
d2 = 0.00000
N(d2) = 0.50000
Exercise price of option = $15
Risk-free Rate = 6%
d1 = 0.24495
N(d1) = 0.59675
Using the Black-Scholes Option Pricing Model, what would be the value of the option?