1, If the returns on ExxonMobil Corporation are distributed lognormally with a mean of 12% and a volatility of 0.48, the variance of simple returns over a one-year holding period is:

Group of answer choices A, 3.6160 B, 0.4147 C, 0.2304 D, 0.6440

2, Consider pricing European options on a stock with an initial price of $137 and a strike price of $137. The options mature in 6 months, and the risk-free rate of interest is 3.5% per annum. The volatility is = 0.81. If a 30 period binomial tree is to be used, then the up move, u, in the stock price using the Jarrow-Rudd (JR) solution is::

Group of answer choices A, 1.10482 B, 0.89632 C, 0.90071 D, 1.11023