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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Question

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:

+0.04324

+0.03923

-0.04324

-0.03923

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