1. A European call option was written on the non-dividend paying shares of firm X. The option has an exercise price of $65 and expires in 73 days. The underlying shares of firm X currently sell for $67.25 and the standard deviation of their continuously compounded returns is 23%. The annual riskless rate is 5.15%.

a.) Using the information provided, what is the value of d1, the value used for accessing the cumulative probability of a value of d or less?

Multiple Choice 0.482 0.269 -0.132 -0.119

b. Using the Black Scholes model, what is the value of the call option. Assume a 365 day year.

Multiple Choice $2.85 $4.34 $2.16 $3.14

c. Using the put call parity relationship, estimate the value of a put option with the same exercise and maturity as the call.

Multiple Choice $1.42 $3.53 $3.94 $3.06