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1.90% For the next 5 questions, use the following Standard Normal Cumulative Distribution Function Table for the value of N(x) used in the Black Scholes
1.90% For the next 5 questions, use the following Standard Normal Cumulative Distribution Function Table for the value of N(x) used in the Black Scholes Pricing Formula: Distribution Function N(x) Question 4 (3.7 points) What is the price of a $65 strike call? Assume S = $60, 0 = 0.40(continuously compounded annual rate), r = 0.04 (continuously compounded annual rate), the stock pays no dividend and the option expires in 45 days. (Use 360 days as one-year convention.) $2.67 $1.63 $3.21 $2.05 Question 5 (3.7 points) What is the price of a $42.5 strike call? Assume S - $38,0 = 0.35(continuously compounded annual rate), r -0.04(continuously compounded annual rate), the stock pays a 1.25% continuous dividend and the option expires in 120 days? (Use 360 days as one-year convention.) $2.83 51.54 54.37 $5.01 Question 6 (3.7 points) Suppose the spot exchange rate is $1.33 per British pound and the strike on a dollar denominated pound call is $1.25. Assume r = 0.50% rf = 2.00% 0 = 0.20 and the option expires in one year. What is the call option price? $0.365 $0.134 $0.087 $0.682 Question 7 (3.7 points) Suppose the spot exchange rate is $1.33 per British pound and the strike on a dollar denominated pound call is $1.25. Assume r = 0.50%, rf = 2.00%, 0 = 0.20 and the option expires in one year. What is the put option price? $0.423 $0.157 27 $0.092 $0.074 Question 8 (3.7 points) Suppose the 360-day futures price on crude oil is $115.00 per barrel and the volatility is 30.0%. Assume interest rates are 5.5%. What is the price of a $125 strike call futures option that expires in 360 days? ((Use 360 days as one-year convention.) $8.24 $9.33 51328 $11.62
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