Note: Correct Answers to Later Questions Are Dependent on Correct

Note: Correct answers to later questions are dependent on correct answers to earlier questions.
-Ima Greedy,the CFO of Financial Saving Techniques has been granted options on 200,000 shares. The stock is currently trading at $23 a share and the options are at the money. The variance of the stock has been about .08 on an annual basis over the last several years. The options mature in 3 years and the risk free rate is 4%.
What is d₂?

A) 0
B) .0293
C) .0386
D) .0478
E) .0565