When Computing the Value of a Call Option Using the Black-Scholes

Multiple Choice

When computing the value of a call option using the Black-Scholes option pricing model, d₂ is calculated as:

A) σt .⁵ − 1.
B) 1 − σt .⁵.
C) d₁ − σt .⁵.
D) 1 + σt .⁵.
E) d₁ + σt .⁵.