The historical volatility of the BS100 index has been 45% per annum. You use this number as an input to the Black-Scholes formula. You calculate the price of a European call option on the BS100 index that has a maturity of 9 months and a strike of $1,500. The risk-free interest rate is 4% p.a., continuously-compounded. The current level of the BS100 index is $2,000. The BS100 index pays dividends at a continuously- compounded rate of 2% p.a. What is the value of d1 of this option to four decimal places? O 0.6203 O None of the other answers is correct. O 1.0100 O 0.5818 O 0.9715