Given That D₁ = 1

question 352

Multiple Choice

Given that d₁ = 1.50 in the Black-Scholes formula, the time to expiration of a call option is two months, the risk-free rate is 6% per year, and the standard deviation of returns on the shares underlying the call option is 20%. What is the value of d₂if the exercise price is $28 and the stock price is $31.23?

• A) 1.42
• B) 1.48
• C) 1.50
• D) 1.58

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Definitions:

Mentoring

A form of training that assigns new hires and early-career employees as proteges to more senior employees.

Early-Career Employees

Individuals at the beginning stages of their professional journey, typically with less experience and seeking growth opportunities.

Off-The-Job Training

Training that occurs away from the primary work environment, often in a classroom setting or through online modules, to enhance skills and knowledge.

Critical-Incident Technique

A performance assessment technique that keeps a log of employees’ effective and ineffective job behaviours.