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7 In the Black-Scholes Model, a. N(d1) is the probability that a standard normal random variable takes on a value exceeding d1. b. If volatility

7 In the Black-Scholes Model,

a. N(d1) is the probability that a standard normal random variable takes on a value exceeding d1.

b. If volatility increases, the value of a call option will increase but the value of the put option will decrease.

c. Value of an option decreases, all else equal, as it nears expiration.

d. All of the above

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