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A call option that expires in 10 days has a strike price of R20. The underlying stock has a current price of R40 per share.

A call option that expires in 10 days has a strike price of R20. The underlying stock has a current price of R40 per share. What is the likely value of N(d1) in the Black-Scholes option pricing model?

Negative and close to 0

Close to 1

Close to 0.5

Positive and close to 0

None of the above

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