Financial Risk Manager Part 1

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Explanation:

Correct answer: C ($23.20)

For an asset-or-nothing call, the payoff is the stock itself if the option finishes in the money. Under Black-Scholes, its value is:

\text{Asset-or-nothing call} = S_0 e^{-qT} N(d_1)

Since the stock pays no dividend, $q=0$ , so:

40.00 \times 0.580 = 23.20

You can also confirm this using the relationship:

C = S_0 N(d_1) - Ke^{-rT}N(d_2)

so:

S_0N(d_1) = C + Ke^{-rT}N(d_2) \approx 3.20 + 20.00 = 23.20

Explanation:

Correct answer: C ($23.20)

For an asset-or-nothing call, the payoff is the stock itself if the option finishes in the money. Under Black-Scholes, its value is:

\text{Asset-or-nothing call} = S_0 e^{-qT} N(d_1)

Since the stock pays no dividend, $q=0$ , so:

40.00 \times 0.580 = 23.20

You can also confirm this using the relationship:

C = S_0 N(d_1) - Ke^{-rT}N(d_2)

so:

S_0N(d_1) = C + Ke^{-rT}N(d_2) \approx 3.20 + 20.00 = 23.20

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Last updated: April 18, 2026 at 11:32

$3.20

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$23.20

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