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

Question 66

Multiple Choice

Find the input d1 of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r$ = 5.5% and r¥ = 6%.


A) d1 = 0.074246
B) d1 = 0.005982
C) d1 = $0.006137/¥
D) None of the above

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