In the Black-Scholes Model, If an Option Is Not Likely

question 9

Multiple Choice

In the Black-Scholes model, if an option is not likely to be exercised, both N(d₁) and N(d₂) will be close to ________. If the option is definitely likely to be exercised, N(d₁) and N(d₂) will be close to ________.

• A) 1; 0
• B) 0; 1
• C) −1; 1
• D) 1; −1

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