14. If the stock moves down in period 1 and we wish to maintain the hedge set up in period 0 (where we wrote 1 call) by adjusting only the stock position we would a. buy approximately 0.09 shares of stock b. sell approximately 0.09 shares of stock c. buy approximately 0.39 shares of stock d. sell approximately 0.39 shares of stock e. not be able to maintain hedge by adjusting only the stock position. 15. If If the call is underpriced in period O an arbitrage could be created by a. borrowing at 5% (by buying calls and shorting stock) and lending at greater than 5% b. borrowing at 5% (by writing calls and buying stock) and lending at greater than 5% c. borrowing at less than 5% (by buying calls and shorting stock) and lending at 5% d. borrowing at less than 5% (by writing calls and buying stock) and lending at 5% e. none of the above for sure since need more information 16. A stock is currently priced at $40. It is known that at the end of one month it will be either $38 or $42. The risk-free rate is 0.67% per month. The current value of a European call option with an exercise price of $39 is about: a. $0.27 b. $0.54 c. $1.10 d. $1.69 e. $2.44 17. A stock's price is $50. Over each of the next two three-month periods It can go up 6% or down 5%. The annual risk free rate is 5%. The value ta six-month European call option with strike price of $51 is about a. $0.84 b. $1.64 c. $1.94 d. $2.49 14. If the stock moves down in period 1 and we wish to maintain the hedge set up in period 0 (where we wrote 1 call) by adjusting only the stock position we would a. buy approximately 0.09 shares of stock b. sell approximately 0.09 shares of stock c. buy approximately 0.39 shares of stock d. sell approximately 0.39 shares of stock e. not be able to maintain hedge by adjusting only the stock position. 15. If If the call is underpriced in period O an arbitrage could be created by a. borrowing at 5% (by buying calls and shorting stock) and lending at greater than 5% b. borrowing at 5% (by writing calls and buying stock) and lending at greater than 5% c. borrowing at less than 5% (by buying calls and shorting stock) and lending at 5% d. borrowing at less than 5% (by writing calls and buying stock) and lending at 5% e. none of the above for sure since need more information 16. A stock is currently priced at $40. It is known that at the end of one month it will be either $38 or $42. The risk-free rate is 0.67% per month. The current value of a European call option with an exercise price of $39 is about: a. $0.27 b. $0.54 c. $1.10 d. $1.69 e. $2.44 17. A stock's price is $50. Over each of the next two three-month periods It can go up 6% or down 5%. The annual risk free rate is 5%. The value ta six-month European call option with strike price of $51 is about a. $0.84 b. $1.64 c. $1.94 d. $2.49