When Computing the Value of a Call Option Using the Black-Scholes

question 19

Multiple Choice

When computing the value of a call option using the Black-Scholes option pricing model, d₂ is calculated as:

• A) σt .⁵ − 1.
• B) 1 − σt .⁵.
• C) d₁ − σt .⁵.
• D) 1 + σt .⁵.
• E) d₁ + σt .⁵.

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