Given That D1 = 1

question 251

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 d2 if 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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