A Stock Is Currently Selling for $36 a Share

question 4

Multiple Choice

A stock is currently selling for $36 a share.The risk-free rate is 3.8 percent and the standard deviation is 27 percent.What is the value of d₁ of a 9-month call option with a strike price of $40?

• A)-0.21872
• B)-0.21179
• C)-0.21047
• D)-0.20950
• E)-0.20356

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Definitions:

December

The twelfth and final month of the year in the Gregorian calendar, associated with winter in the Northern Hemisphere and summer in the Southern Hemisphere.

Standard Deviation

A statistic that quantifies the dispersion of dataset relative to its mean, showcasing how spread out the data points are.

Mean Shoe Life

The average lifespan of a shoe, measured by duration of usage before it becomes unwearable, typically calculated from a sample.

Marathon Training

A structured program of physical exercises and running practice aimed at preparing an individual to complete a marathon.