[1.] A call option on the stock of Bedrock Boulders has a market price of $9. The stock sells for $29 a share, and the option has a strike price of $26 a share. Round your answers to the nearest dollar.

What is the exercise value of the call option?

$___________

What is the option's time value?

$___________

[2.] Assume that you have been given the following information on Purcell Industries' call options:

Current stock price = $12

Strike price of option = $12

Time to maturity of option = 9 months

Risk-free rate = 7%

Variance of stock return = 0.11

d1= 0.32640

N(d1) = 0.62794

d2= 0.03917

N(d2) = 0.51562

According to the Black-Scholes option pricing model, what is the option's value? Do not round intermediate calculations. Round your answer to the nearest cent. Use only the values provided in the problem statement for your calculations.

$___________

[3.] The current price of a stock is $32, and the annual risk-free rate is 5%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $5.86. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option? Do not round intermediate calculations. Round your answer to the nearest cent.

$____________

[4.] Use the Black-Scholes model to find the price for a call option with the following inputs: (1) current stock price is $30, (2) strike price is $38, (3) time to expiration is 7 months, (4) annualized risk-free rate is 7%, and (5) variance of stock return is 0.09. Do not round intermediate calculations. Round your answer to the nearest cent.

$_____________

[5.] What is the implied interest rate on a Treasury bond ($100,000, 6% coupon, semiannual payment with 20 years to maturity) futures contract that settled at 100'12? Do not round intermediate calculations. Round your answer to two decimal places.

______________ %

If interest rates increased by 2%, what would be the contract's new value? Do not round intermediate calculations. Round your answer to the nearest cent.

$_______________

[6.] Carter Enterprises can issue floating-rate debt at LIBOR + 1% or fixed-rate debt at 9%. Brence Manufacturing can issue floating-rate debt at LIBOR + 3.5% or fixed-rate debt at 11%. Suppose Carter issues floating-rate debt and Brence issues fixed-rate debt. They are considering a swap in which Carter makes a fixed-rate payment of 8.90% to Brence and Brence makes a payment of LIBOR to Carter. What are the net payments of Carter and Brence if they engage in the swap? Round your answers to two decimal places. Use a minus sign to enter negative values, if any.

Net payment of Carter:___________%

Net payment of Brence: - (LIBOR +____________%)