Consider Two Firms,each of Which Has a Distance-To-Default of 2 $$\rho = 0.5$$

Multiple Choice

Consider two firms,each of which has a distance-to-default of 2.The correlation of default of the two firms is $$\rho = 0.5$$ .Assuming bivariate normality,what is the value of a $100 notional first-to-default basket option on these two firms,if the discount rate is zero?

A) $1
B) $2
C) $3
D) $4