Question
In: Finance
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 2 years agoRelated Solutions
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