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Find the input d 1 of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = 100. The

Find the input d₁ of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = 100. The current spot rate is $1 = 100. The volatility is 25 percent per annum; i_$ = 5.5% and i = 6%.

Multiple Choice

d₁ = 0.074246

d₁ = 0.005982

none of the options

d₁ = $0.006137/

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