Question: Consider a 1-year option with exercise price $100 on a stock with annual standard deviation 15%. The T-bill rate is 2% per year. Find N(d1)

Consider a 1-year option with exercise price $100 on a stock with annual standard deviation 15%. The T-bill rate is 2% per year. Find N(d1) for stock prices (a) $95, (b) $100, and (c) $105. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

S	N(d1)
$95
$100
$105

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