A. Use the Black-Scholes model to calculate the value of a three-month European put option with an exercise price of $60. The risk-free rate is 3% and the standard deviation is 30%. The current stock price is $50 per share. The stock does not pay dividends. Which of the following is closest to the value of the put? a. $8 b. $10 c. $12 d. $14

B. Use the Black-Scholes model to calculate the value of a three-month European call option with an exercise price of $40. The risk-free rate is 3% and the annual standard deviation is 30%. The current stock price is $50 per share. The stock does not pay dividends. Which of the following is closest to the value of the call? a. $10.50 b. $12.00 c. $14.50 d. $20.00

C. What is the likely hedge ratio for a call option that has an exercise price of $50 when the underlying stock price is $30 per share? a. Close to 1 b. Positive and close to 0 c. Negative and close to 0 d. 1 minus the hedge ratio for a comparable put option