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A Call Option with an Exercise Price of $50 Expires

Question 60

Multiple Choice

A call option with an exercise price of $50 expires in six months, has a stock price of $54, and has a standard deviation of 80 percent. The risk-free rate is 9.2 percent per year annually compounded. Calculate the value of d1.


A) 0.3
B) 0.7214
C) −0.7214
D) 0.4967

Correct Answer:

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