AMZN shares currently sell for 775. The stock pays no dividend. The current risk-free rate is 1.50% compounded continuously. You believe AMZN European options, with a strike price of 780, maturing in 24 trading days, should be selling for an implied volatility of 21%. (Assume there are 252 trading days in a calendar year.)

What is the value for d₂ for this option as defined by the Black-Scholes Merton model (BSM model)?

Group of answer choices

d₂ < -0.05

-0.05 d₂ <-0.04

-0.04 d₂ <-0.03

-0.03 d₂ <-0.02

-0.02 d₂