Question

# You are a research analyst at JPMorgan Investment Management. You are collecting and analyzing data to...

You are a research analyst at JPMorgan Investment Management. You are collecting and analyzing data to find the value for a six month European call option and put option on BAC stock. The stock price of BAC is currently \$80. The strike price is \$78. It is known that at the end of six months it will be either \$84 or \$76. The risk-free interest rate is 5% per year.

 1 The value of the put option on the stock is \$0.48 2 The put option delta is -0.5 3 The value of the call option on the stock is \$2.81 4 The value of the put option on the stock 0.90 5 The put option delta is 0.5 6 The risk neutral probability of an up movement is 0.7532 7 The value of the put option on the stock 1.90 8 The call option delta is 0.05 9 The value of the call option on the stock \$38.1 10 The risk neutral probability of an up movement is 0.1908 11 The call option delta is 0.5 12 The call option delta is 0.75 13 The put option delta is 0.05 14 The value of the put option on the stock 2.90 15 The risk neutral probability of an up movement is 0.08 16 The risk neutral probability of an up movement is 0.25 17 The value of the call option on the stock is \$4.41 18 The put option delta is -0.25.

17. The value of the call option on the stock is \$4.41 18. The put option delta is -0.25.

Answer: the correct statements are , 1,6,12,17,18.

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