What is the value of d₂ given the following information on a share?
Share price €63
Exercise price €60
Time to expiration .50
Risk-free rate 6%
Standard deviation 20%
D₁ .627841

Question

What is the value of d₂ given the following information on a share? Share price €63 Exercise price €60 Time to expiration .50 Risk-free rate 6% Standard deviation 20% D₁ .627841

Quizplus · Accepted Answer

Using the Black-Scholes formula, we can calculate d₂ as: d₂ = (ln(S0/X) + (r + (σ^2/2))T) / (σ√T) = (ln(63/60) + (0.06 + (0.2^2/2))0.5) / (0.2√0.5) = 0.4864 Therefore, the correct answer is B.

What Is the Value of D2 Given the Following Information

What Is the Value of D₂ Given the Following Information