The current market value of the assets of Bigelow,Inc.is $86 million,with a standard deviation of 15 percent per year.The firm has zero-coupon bonds outstanding with a total face value of $45 million.These bonds mature in 2 years.The risk-free rate is 4 percent per year compounded continuously.What is the value of d1?
A) 3.54
B) 3.62
C) 3.68
D) 3.71
E) 3.75
Correct Answer:
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