Question
As a financial analyst at JPMorgan Chase investments, you are evaluating European call options and put options using Black Scholes model. Suppose BMIs stock price
As a financial analyst at JPMorgan Chase investments, you are evaluating European call options and put options using Black Scholes model. Suppose BMIs stock price is currently $75. The stocks standard deviation is 7.0% per month. The option with exercise price of $75 matures in three months. The risk-free interest rate is 0.8% per month. Please answer the following questions.
which one is the correct answers
| 1. | The price of the European call option is $13.14 | |
| 2. | The price of the six month European call option is $3.76 | |
| 3. | The risk free interest rate per year is 11.8% | |
| 4. | The call option will increase by 20 cents if the stock goes up by $1. | |
| 5. | The standard deviation per year is 24.25% | |
| 6. | The risk free interest rate per year is 1% | |
| 7. | The standard deviation per year is 16% | |
| 8. | The standard deviation per year is 84%. | |
| 9. | The risk free interest rate per year 9.6% | |
| 10. | The call option will decrease 60 cents if the stock goes up by $1. | |
| 11. | The standard deviation per year is 70%. | |
| 12. | The call options delta is 0.6015 | |
| 13. | The price of the European call option is $4.5062 | |
| 14. | The price of the call option is $3.50 | |
| 15. | The risk free interest rate per year is 8% |
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Management Accounting
Authors: Will Seal, Carsten Rohde, Ray Garrison, Eric Noreen
6th Edition
0077185536, 978-0077185534
