As a financial analyst at Bank of America Merrill Lynch$,$ you are collecting and analyzing data to find the value for a three month

European call option and put option on BAC stock. The stock price is currently $$50.$ The strike price is $$51.$ It is known that at the end

of three months it will be either $$55$ or $$45.$ The risk$-$free interest rate is $12\%$ per year.

a$.$ What is the call option delta? Blank $1($sample answer: $0\mathrm{.}75$ or $-0\mathrm{.}75)$

b$.$ What is the put option delta?Blank $2($sample answer: $0\mathrm{.}75$ or $-0\mathrm{.}75)$

c$.$ What is the probability of an up movement in a risk$-$neutral world? Blank $3($sample answer: $35\mathrm{.}50\%)$

d$.$ What is the value of the call option on the stock? Blank $4($sample answer: $$2\mathrm{.}50)$

e$.$ What is the value of the put option on the stock?Blank $5($sample answer: $$2\mathrm{.}50)$

Blank $1$

Add your answer

Blank $2$

Add your answer

Blank $3$

Blank $4$

Blank $5$