1. A stock price is currently $50. It is known that at the end of 1 month it will be either $52 or $48. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 1-month European call option with a strike price of $49?

2. A stock price is currently $60. You predict that at the end of 6 months stock price will increase or decrease by 20%. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a 6-month European put option with a strike price of $60?

3. A stock price is currently $90. Over each of the next two 6-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 1-year European call option with a strike price of $90?

4. A stock price is currently $100. Over each of the next two 6-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding, what is the value of a 1-year European put option with a strike price of $100?

5. A stock price is currently $95. It is known that at the end of four months it will be either $90 or $100. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a four-month European put option with a strike price of $95?

6. A stock price is currently $70. Over each of the next two three-month periods it is expected to go up by 6% or down by 5%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $72?

Hull, John, Fundamentals of Futures and Options Markets, 9th ed., Prentice-Hall, 2016. Available from most on-line booksellers (ISBN: 978-0134083247)