Note: Correct Answers to Later Questions Are Dependent on Correct

Multiple Choice

Note: Correct answers to later questions are dependent on correct answers to earlier questions.
-Ima Greedy,the CFO of Financial Saving Techniques has been granted options on 200,000 shares. The stock is currently trading at $22 a share and the options are at the money. The variance of the stock has been about .07 on an annual basis over the last several years. The options mature in 3 years and the risk free rate is 4%.
What is d₁?

A) .1842
B) .4102
C) .4583
D) .4909
E) .5412