In the Black-Scholes model, if an option is not likely to be exercised, both N(d₁) and N(d₂) will be close to ________. If the option is definitely likely to be exercised, N(d₁) and N(d₂) will be close to ________. A) 1; 0 B) 0; 1 C) −1; 1 D) 1; −1

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In the Black-Scholes model, N(d) represents the cumulative distribution function of the standard normal distribution. If an option is not likely to be exercised, both N(d) values will be close to 0, indicating a low probability of exercise. Conversely, if the option is definitely likely to be exercised, both N(d) values will be close to 1, indicating a high probability of exercise.

In the Black-Scholes Model, If an Option Is Not Likely