Question

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%

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