Find the Input D₁ of the Black-Scholes Price of a Six-Month

Multiple Choice

Find the input d₁ of the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.

A) d₁ = 0.103915
B) d₁ = 2.9871
C) d₁ = -0.0283
D) none of the above