As a financial analyst at JPMorgan Chase investments, you are evaluating European call options and put...

As a financial analyst at JPMorgan Chase investments, you are evaluating European call options and put options using Black Scholes model. Suppose BMI’s stock price is currently $75. The stock’s standard deviation is 7.0% per month. The option with exercise price of $75 matures in three months. The risk-free interest rate is 0.8% per month. Please answer the following questions.

Please choose all correct answers.

	1.	The price of the European call option is $13.14
	2.	The price of the six month European call option is $3.76
	3.	The risk free interest rate per year is 11.8%
	4.	The call option will increase by 20 cents if the stock goes up by $1.
	5.	The standard deviation per year is 24.25%
	6.	The risk free interest rate per year is 1%
	7.	The standard deviation per year is 16%
	8.	The standard deviation per year is 84%.
	9.	The risk free interest rate per year 9.6%
	10.	The call option will decrease 60 cents if the stock goes up by $1.
	11.	The standard deviation per year is 70%.
	12.	The call options delta is 0.6015
	13.	The price of the European call option is $4.5062
	14.	The price of the call option is $3.50
	15.	The risk free interest rate per year is 8%

Solutions

Expert Solution

As per the Black Scholes Call Option Calculations :-

Correct answers are: 5,12 and 13 are correct.

jeff jeffy answered 1 year ago

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