=2/You wish to value a call option on Google shares (which do not pay dividends) with a strike price of $600 and a six-month duration. You do not know what volatility to factor in. Fortunately, four-month options are listed at $30 for a strike price of $630. What is the implicit volatility of these options? The interest rate is 3% and Google shares are trading at $600. What is the value of this first option?

3/Redo the exercise above, assuming in the first case that Google shares rise to $700 or fall to $450. What is the impact on the value of the option? What basic feature of the option have you highlighted?