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A Stock Is Currently Selling for $56 a Share

Question 22

Multiple Choice

A stock is currently selling for $56 a share.The risk-free rate is 3 percent and the standard deviation is 18 percent.What is the value of d1 of a 9-month call option with a strike price of $57.50?


A) -0.01506
B) 0.05271
C) 0.05740
D) 0.06420
E) 0.06752

Correct Answer:

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