High Mountain has a stock price of $19 a share.The 3-month options have a strike price of $15.The risk-free rate is 2.5 percent and the standard deviation of returns is 17 percent.The value of d1 is 2.89707.What is the value of d2 as it is used in the Black-Scholes option pricing model?
A) 2.69091
B) 2.93048
C) 2.67176
D) 3.10323
E) 2.81207
Correct Answer:
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