The Current Market Value of the Assets of Smethwell, Inc

The current market value of the assets of Smethwell, Inc. is $56 million, with a standard deviation of 16 percent per year. The firm has zero-coupon bonds outstanding with a total face value of $40 million. These bonds mature in 2 years. The risk-free rate is 4.5 percent per year compounded continuously. What is the value of d₁?

A) 1.67
B) 1.84
C) 1.93
D) 2.00
E) 2.06