Question: Consider a 1-year option with exercise price $60 on a stock with annual standard deviation 20%. The T-bill rate is 3% per year. Find N

Consider a 1-year option with exercise price $60 on a stock with annual standard deviation 20%. The T-bill rate is 3% per year. Find N(d₁) for stock prices $55, $60, and $65. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

S	N(d₁)
$55
$60
$65

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