Find the Input D₁ of the Black-Scholes Price of a Six-Month

question 66

Multiple Choice

Find the input d₁ of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r_$ = 5.5% and r_¥ = 6%.

• A)d₁ = 0.074246
• B)d₁ = 0.005982
• C)d₁ = $0.006137/¥
• D)None of the above

---

Definitions:

Business Message

Communication conveyed through various channels for professional purposes.

Conversational

A style of communication that is informal, natural, and similar to everyday spoken language.

Formal Tone

A style of communication that is professional, impersonal, and often used in academic or professional settings.

Internal Audience

A group within an organization, such as employees or members, targeted by specific communications or information.