A call option with an exercise price of $50 expires in six months, has a stock price of $54, and has a standard deviation of 80 percent. The risk-free rate is 9.2 percent per year annually compounded. Calculate the value of d₂. A)+0.0690 B)−0.0690 C)+0.5657 D)−0.5657

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The value of d2 is calculated using the Black-Scholes formula: d2 = d1 - σ√T. First, calculate d1 using the formula: d1 = [ln(S/K) + (r + σ²/2)T] / (σ√T). Then, subtract σ√T from d1 to find d2. Given the parameters, d2 is approximately -0.0690.

A Call Option with an Exercise Price of $50 Expires