Let $E ^ { * } ( . )$ Denote Risk-Neutral Expectations in the Black-Scholes Setting

question 6

Multiple Choice

Let $E ^ { * } ( . )$ denote risk-neutral expectations in the Black-Scholes setting. Then, the Black-Scholes formula may calculated by taking the following expectation:

• A) \(e ^ { - r T } E ^ { * } \left[ S _ { T } - K \right] N \left( d _ { 2 } \right)\)
• B) \(e ^ { - r T } E ^ { *} \left[ S _ { T } - K \right] N \left( d _ { 1 } \right)\)
• C) \(e ^ { - r T } E ^ { * } \left[ \max \left( 0 , S _ { T } \right) \right] - K\) .
• D) \(e ^ { - r T } E ^ { * } \left[ \max \left( 0 , S _ { T } - K \right) \right]\) .

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