An analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following data: The price of the stock is $40. The strike price of the option is $40. The option matures in 3 months (t = 0.25). The standard deviation of the stock's returns is 0.40, and the variance is 0.16. The risk-free rate is 6% (APR). Compounding is continuous. Given this information, the analyst then calculated the following necessary components of the Black-Scholes model: di = 0.175 d2 =-0.025 N(di) = 0.56946 N(2) = 0.49003 N(dj) and N(D2) represent areas under a standard normal distribution function. Using the Black-Scholes model, what is the value of the call option? $2.81 b. $3.82 Oc $3.12 Od $3.47 $4.20 e The minimum option value A. speculative value intrinsic value B. option price C. A call has an exercise price of $18 and 6 months to maturity. The stock price is $19. Find the intrinsic value. If the option price is $1.75, what is the speculative value? OA. Intrinsic = 1; speculative = .75 Intrinsic = 0; speculative = 1.75 B. C C. Intrinsic = 1; speculative = 1.75 Intrinsic = 0; speculative = .75 D. If the present value of the exercise price is $20, the call option is selling for $5, and the market price of the stock is $22. If the put is selling for $5, should you buy it? Why or why not? O Yes, you will make $3 A. B. No, you will lose $2 No, you will lose $3 D. Yes, you will make $2 Which of the following is an example of a real option? Foothold in an expanding market A. End a project early B. Wait for better market conditions C. OD. All of these are real options