A stock price is currently $60. 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 $61 ? A. $6.42 B. $3.65 C. $2.03 D. $4.78 A stock price is currently $25. It is known that at the end of three months it will be either $28 or $23. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a three-month European call option with a strike price of $24 ? A. $0.96 B. $1.96 C. $2.96 D. $3.96 The price of a European call option on a non-dividend-paying stock with a strike price of $70 is $8. The stock price is $71, the continuously compounded risk-free rate (all maturities) is 4% and the time to maturity is one year. What is the price of a one-year European put option on the stock with a strike price of $70 ? A. $2.09 B. $3.45 C. $4.26 D. $5.73 The prices of European call and put options on a non-dividend-paying stock with 9 months to maturity, a strike price of $60, and an expiration date in 9 months are $18 and $10, respectively. The current stock price is $65. What is the implied risk-free rate? A. 6.8% B. 7.3% C. 5.2% D. 8.6% A stock price is currently $60. 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 $61 ? A. $6.42 B. $3.65 C. $2.03 D. $4.78 A stock price is currently $25. It is known that at the end of three months it will be either $28 or $23. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a three-month European call option with a strike price of $24 ? A. $0.96 B. $1.96 C. $2.96 D. $3.96 The price of a European call option on a non-dividend-paying stock with a strike price of $70 is $8. The stock price is $71, the continuously compounded risk-free rate (all maturities) is 4% and the time to maturity is one year. What is the price of a one-year European put option on the stock with a strike price of $70 ? A. $2.09 B. $3.45 C. $4.26 D. $5.73 The prices of European call and put options on a non-dividend-paying stock with 9 months to maturity, a strike price of $60, and an expiration date in 9 months are $18 and $10, respectively. The current stock price is $65. What is the implied risk-free rate? A. 6.8% B. 7.3% C. 5.2% D. 8.6%
