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A call option with an exercise price of $50 expires in six months, has a stock price of $54, and has a standard deviation of

A call option with an exercise price of $50 expires in six months, has a stock price of $54, and has a standard deviation of 80 percent. The risk-free rate is 9.2 percent per year annually compounded. Calculate the value of d2.

Select one:

a. -0.0690

b. -0.5657

c. +0.0690

d. +0.5657

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