Find the input d₁ of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r_$ = 5.5% and r_¥ = 6%. A)d₁ = 0.074246 B)d₁ = 0.005982 C)d₁ = $0.006137/¥ D)None of the above

Question

Quizplus · Accepted Answer

The formula for d₁ in the Black-Scholes model is: d₁ = [ln(S/K) + (r_$ - r_¥ + (σ²/2))T] / (σ√T). Plugging in the given values, we find d₁ = 0.074246.

Find the Input D1 of the Black-Scholes Price of a Six-Month

Find the Input D₁ of the Black-Scholes Price of a Six-Month