Using the Black Scholes formula, value the option mentioned by Joe Aston in the previous question's quote. Assume that Magellan pays no dividends, the expiry date is exactly 2 years away, the risk free rate is 3% pa as a continuously compounded rate and the annual standard deviation of returns is expected to be 61 percentage points pa (the annualised historical daily standard deviation over the year to 6 May 2022). Which of the following statements is NOT correct? Select one: a. d1 is 0.31928296. b. If the Magellan share price rose by 1 cent, the option value would rise by approximately 0.3748 cents. c. The risk-neutral probability that the option is in-the-money is 11.86%. d. The option price is $0.96. e. The option price would be lower if future dividends were included. Using the Black Scholes formula, value the option mentioned by Joe Aston in the previous question's quote. Assume that Magellan pays no dividends, the expiry date is exactly 2 years away, the risk free rate is 3% pa as a continuously compounded rate and the annual standard deviation of returns is expected to be 61 percentage points pa (the annualised historical daily standard deviation over the year to 6 May 2022). Which of the following statements is NOT correct? Select one: a. d1 is 0.31928296. b. If the Magellan share price rose by 1 cent, the option value would rise by approximately 0.3748 cents. c. The risk-neutral probability that the option is in-the-money is 11.86%. d. The option price is $0.96. e. The option price would be lower if future dividends were included