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 riskfree 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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