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

question 66

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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%.


Definitions:

Animal Magnetism

A historical term referring to a supposed invisible natural force possessed by all living things, including humans, thought to affect health and disease.

Franz Mesmer

An 18th-century physician best known for developing what he called "animal magnetism" and what later became known as mesmerism, a precursor to hypnotism.

Theodore Sarbin

An American psychologist and professor known for his work in the development of narrative psychology.

Hypnosis

A trance-like state of focused attention and increased suggestibility, often used for therapeutic purposes.

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