Jeff Is Analyzing an Expansion Project for a New Business

Multiple Choice

Jeff is analyzing an expansion project for a new business and has developed this input for a Black-Scholes model.Stock price = $7,365,000,exercise price = $12,400,000,time period = 3 years,standard deviation = 14.5 percent,and the continuously compounded interest rate = 4.2 percent.What is the value of d₁ as it is used in the model?

A) .1945
B) .5487
C) −1.4102
D) .4593
E) −1.4470