Assume a Stock Price of $21

Multiple Choice

Assume a stock price of $21.80, an exercise price of $20, three months to expiration, a risk-free rate of 3.40 percent, standard deviation of 46 percent, and a d₁ value of .52664. What is the value of d₂ as it is used in the Black-Scholes option pricing model?

A) .31218
B) .31225
C) .29664
D) .29535
E) .31340