Cola Company Options Have an Exercise Price of $45 and Expire

question 35

Multiple Choice

Cola Company options have an exercise price of $45 and expire in 156 days. The current price of Cola Company stock is $44.375. The (annually compounded) risk-free rate is 7 percent per year and the standard deviation of Cola Company's stock returns is 0.31. Calculate d1.

• A)0.0226
• B)0.1750
• C)−0.3157
• D)0.3157

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