European call option with an exercise price of $40 has a maturity (expiration) of six months, stock price of $44 and the standard deviation of the stock returns 0.8. The risk-free rate is 8.5%. Calculate the value of d2 (approximately). Select one: a. +0.04324 b. +0.03923 c. -0.04324 d. -0.03923
European call option with an exercise price of $40 has a maturity (expiration) of six months, stock price of $44 and the standard deviation of the stock returns 0.8. The risk-free rate is 8.5%. Calculate the value of d2 (approximately). Select one: a. +0.04324 b. +0.03923 c. -0.04324 d. -0.03923
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A European call option with an exercise price of $40 has a maturity (expiration) of six months, stock price of $44 and the standard deviation of the stock returns 0.8. The risk-free rate is 8.5%. Calculate the value of d2 (approximately).
Select one:
a.
+0.04324
b.
+0.03923
c.
-0.04324
d.
-0.03923
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