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