The CFO of Financial Savings Has Just Been Granted At-The-Money

Multiple Choice

The CFO of Financial Savings has just been granted at-the-money options on 200,000 shares.The options expire in three years.The firm's stock is currently trading at $22 a share,the volatility of the returns as measured by standard deviation is 19 percent,and the continuously compounded risk-free rate is 3.6 percent.What is the value of d₁ as it is used in the Black-Scholes option pricing model?

A) .1842
B) .4102
C) .4583
D) .4927
E) .5412