10. A stock is currently selling for $39 a share. The risk-free rate is 2.5 percent and the standard deviation is 26 percent. What is the value of d₁ of a 9-month call option with a strike price of $40?

Multiple Choice

• .01506

• .08341

• .07746

• .06420

• .06752

18.

The price of Chive Corp. stock will be either $70 or $90 at the end of the year. Call options are available with one year to expiration. T-bills currently yield 6 percent.

Suppose the current price of the company's stock is $75. What is the value of the call option if the exercise price is $65 per share?

Suppose the exercise price is $85 in requirement 1. What is the value of the call option now?