Question: Consider a 1-year option with exercise price $90 on a stock with annual standard deviation 15%. The T-bill rate is 3% per year. Find N(d1)

Consider a 1-year option with exercise price $90 on a stock with annual standard deviation 15%. The T-bill rate is 3% per year. Find N(d1) for stock prices (a) $85, (b) $90, and (c) $95. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

s	N(d1)
$ 85
$ 90
$ 95

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