Assume You Are Being Granted At-The-Money Stock Options Today When

Multiple Choice

Assume you are being granted at-the-money stock options today when the stock is trading at $32 a share.These options mature in one year,the continuously compounded risk-free rate is 4.2 percent,and the volatility of the stock's returns is 22 percent.What is the value of d₂ as it is used in the Black-Scholes model?

A) .0927
B) .0752
C) .0809
D) .0847
E) .0936