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

question 28

Multiple Choice

Find the input d₁ of the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.

• A)d₁ = 0.103915
• B)d₁ = 2.9871
• C)d₁ = -0.0283
• D)none of the above

---

Definitions:

Functionalism

A theoretical perspective that views society as a complex system whose parts work together to promote solidarity and stability.

Relations Of Production

The dynamic interactions and connections between the owners of the means of production and the laborers, which determine the economic structure in a society.

Superstructure

In Marxist theory, the cultural, ideological, and institutional structures built upon the economic base (means of production).

Analytic Marxism

An approach within Marxist theory that seeks to apply analytical and empirical methods to the study of economic and social phenomena.