The Current Market Value of the Assets of AMN Co

Multiple Choice

The current market value of the assets of AMN Co. is $47 million, with a standard deviation of 21 percent per year. The firm has zero-coupon bonds outstanding with a total face value of $35 million. These bonds mature in two years. The risk-free rate is 3.6 percent per year, compounded continuously. What is the value of d₁ as it applies to the Black-Scholes option pricing model?

A) 1.32471
B) 1.48002
C) 1.60067
D) 1.38357
E) 0.89006