The Current Market Value of the Assets of Kleiner, Inc

Multiple Choice

The current market value of the assets of Kleiner, Inc. is $72 million, with a standard deviation of 20 percent per year. The firm has zero-coupon bonds outstanding with a total face value of $35 million. These bonds mature in 3 years. The risk-free rate is 5 percent per year compounded continuously. What is the value of d₁?

A) 2.69
B) 2.94
C) 3.13
D) 3.46
E) 3.58