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

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Using the Black-Scholes formula: d1 = [ln(S0/K) + (r + 0.5 * sigma^2) * t] / (sigma * sqrt(t)) d2 = d1 - sigma * sqrt(t) N(d1) = 0.4091 N(d2) = 0.3171 where S0 = 36, K = 40, r = 0.038, t = 0.75 (9 months), and sigma = 0.27. Using the formula for the call option premium: C = S0 * N(d1) - K * exp(-r * t) * N(d2) C = $2.37 Using the formula for delta: Delta = N(d1) Delta = 0.4091 Using the formula for d₁: d₁ = Delta * S0 / C d₁ = -0.21179

A Stock Is Currently Selling for $36 a Share