Current stock price is $105. Annualized standard deviation of return is 25%. The risk-free interest rate is 4.5%. Exercise price is $100. The time to maturity is six months (0.5 years in the spreadsheet).

What are the call and put prices? What call and put prices will you get if you assume that the annualized standard deviation is 60%?

Instead of changing the annualized standard deviation, try changing the time to maturity to three months or nine months. What call and put prices will you get?

Show all work in excel.

Hint: You may also try using theData Table belowto answer the above questions.

View the one-variable Data Table below. The NPV ranges from $6,896 to -$1,202 when the discount rate varies from 8% to 12%, respectively. Observe that the NPV increases when the discount rate goes down, and the NPV decreases with increases in the discount rate. When the discount rate is 12%, the project should definitely be rejected

One-variable Data Table: Varying the discount rate

$2,678.50

8.0%$6,895.95

9.0%$4,742.82

10.0%$2,678.50

11.0%$698.29

12.0%($1,202.20)

View the two-variable Data Table below. The discount rate varies from 8% to 12% while the initial outlay varies from $50,000 to $100,000. Observe that when the initial outlay is $100,000, the project should be rejected regardless of the discount rate (except when it is very close to 0%, which is unlikely to be the case). On the other hand, the project should be accepted whenever the initial outlay is $50,000 unless the discount rate is above 29.5%.

Two-variable Data Table: Varying the discount rate and initial outlay

$2,678.50($50,000.00)($75,000.00)($100,000.00)

8.0%$31,895.95$6,895.95($18,104.05

9.0%$29,742.82$4,742.82($20,257.18)

10.0%$27,678.50$2,678.50($22,321.50)

11.0%$25,698.29$698.29($24,301.71)

12.0%$23,797.80($1,202.20)($26,202.20)

Please show all work in excel.