A European call option with an exercise price of $40 has a maturity (expiration) of six months, stock price of $44 and the standard deviation of the stock returns 0.8. The risk-free rate is 8.5%. Calculate the value of d2 (approximately).

Select one:

a.

-0.03923

b.

-0.04324

c.

+0.04324

d.

+0.03923