Answer questions 1012 using the following: The spot price for gold is S0=$300 an ounce, the annual risk-free rate is 4% and storage costs (for gold) are zero. Delivery date is one year from now. The equilibrium futures price is equal to F0=S0erT. 10) The equilibrium futures price is: a) $300.50 b) $340 c) $312.24 d) $380.18 11) If the actual futures price in the market is $320 then an arbitrageur a) should go long in the spot market and short in the futures market b) should go short in the spot market and long in the futures market c) cannot make riskless arbitrage profits 19 d) should short the futures 12) The arbitrage profit is: a) 10.44 b) 7.76 c) 5.8 d) 0.0 13) What is the price of a European call option on a non-dividend-paying stock when the stock price is $80, the strike price is $78, the risk-free interest rate is 2% per annum, the volatility is 20% per annum, and the time to maturity is 1 year? (Hint: N(d1)=0.628 and N(d2)=0.550) a) 6.36 b) 8.16 c) 9.93 d) 5.06 14) Using the information in problem 13, the probability of the call option being in the money on expiration is a) 0.55 b) 0.70 c) 0.32 d) 0.35 15) Using the information in problem 13 , the probability of the put option being in the money on expiration is a) 0.75 b) 1.25 c) 0.45 d) 0.32 16) The change in the call option's price due to a change in the price of the underlying is called the Delta () and it is equal to N(d1), i.e., dC/dS=N(d1). Suppose that for a given call option N(d1)=0.5. If the price of the underlying asset goes up by $1 then, the price of the call will go up by a) 0.5 b) 1.0 c) 2.5 d) 0.0