You are given the following information about a European call option on stock ABC: S = $40; X = $37; R = 4.5% per year, continuously compounded; sigma = 53%; and T = 2 years. - What is N(D2) when you use the Black-Scholes formula to price the option (choose the closest one)? A. 0.5989 B. 0.7254 C. 0.4401 D. -0.1507 - What is d1 when you use the Black-Scholes formula to price the option? A. 0.5989 B. 0.7254 C. 0.4401 D. -0.1507 - What is the call option value when you use the Black-Scholes formula to price the option (choose the closest one)? A. 14.13 B. 25.87 C. 17.50 D. 20.00 The Black-Scholes option pricing formula is based on the assumption that stock price has constant expected return and constant return risk.= True or False Everything else equal, when the underlying assets become more volatile, the American call option (no dividend paid till expiration) value becomes higher; the value of the American put option will be also higher.= True or False Call options are more valuable when, everything else equal, the underlying asset value becomes more volatile.= True or False