Suppose that we wish to value a call with a strike price of $32.50 on a stock that is currently selling for $35, when the call has nine months until expiration, the current nominal annual continuously compounded interest rate is 4 percent, and the standard deviation in returns of the underlying stock is 47 percent.

What will be the value of d₁?

a. 0.3732

b. 0.4593

c. 0.4983

d. 0.5652