Galaxy Exchange Inc. reports the following information for call or put options on shares of common stock of Milky-Way Corp.

Current market price of the stock is $60.

Exercise price (call or put) is $60.

Expiration date of the option (call or put) is three months from now.

T-bills rate is 5.7%.

The estimated annual standard deviation of the stock is 30%.

Based on above information, what is the value of N(d₁)?

Select one:

a. 0.0675

b. 0.02

c. 0.5675

d. 0.02

e. None of THESE are correct