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A Stock Is Currently Selling for $36 a Share

Question 4

Multiple Choice

A stock is currently selling for $36 a share.The risk-free rate is 3.8 percent and the standard deviation is 27 percent.What is the value of d1 of a 9-month call option with a strike price of $40?


A) -0.21872
B) -0.21179
C) -0.21047
D) -0.20950
E) -0.20356

Correct Answer:

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