Multiple Choice
Assume a stock price of $34.80, an exercise price of $35, nine months to expiration, risk-free rate of 2.40 percent, standard deviation of 57 percent, and a d₁ value of .27167. What is the value of d₂ as it is used in the Black-Scholes option pricing model?
A) −.22196
B) −.18657
C) −.18241
D) −.27427
E) −.22238
Correct Answer:
Verified
Correct Answer:
Verified
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