Disregard the information provided in the previous section. Consider (hypothetical) quotes for Air Manitoba (AM) common stock and stock options for December 1, 20XX, and for selected Canadian yields (Exhibits 1 through 3 below). Assume that all options below expire on the last day of the expiry month. Use the Black-Scholes- Merton model to answer the following questions. Exhibit 1 December 1, 20XX Quotations for Air Manitoba (AM) Stock 52W 52W Yield Vol High Low Cls/ Net high low Stock Ticker Div* % P/E 00s /ask /bid last chg Air 87.4 14.25 Manitoba AM 2.7 7 6.2 18692 38.8 38 38.5 -0.2 Exhibit 2 December 1, 20XX Quotations for Listed Air Manitoba Options Stk Exp* P/C Vol Bid Ask Opint Air Manitoba (AM) 38.50 Stk Exp* P/C Vol Bid Ask Oplnt Air Manitoba (AM) 38.50 35 Dec Call 21 4.20 4.30 722 35 Dec Put 32 0.60 0.65 345 367/2 May Call 34 5.50 5.75 536 367/2 May Put 29 3.50 3.70 273 Exhibit 3 December 1, 20XX Quotations for Government of Canada Treasury Bill Yields Assume that AM's annualized historical volatility (standard deviation of continuously compounded returns) is 36%. Use the Black- Scholes-Merton model to value the "May 364/2 Call" option. place the value of risk free rate (as decimal upto 4 decimal places 0.1234) 30-day 2.80% 60-day 2.88% A/ 91-day 300% 364/2 May Put 29 3.50 3.70 273 Exhibit 3 December 1, 20XX Quotations for Government of Canada Treasury Bill Yields Assume that AM's annualized historical volatility (standard deviation of continuously compounded returns) is 36%. Use the Black- Scholes-Merton model to value the "May 36-12 Call" option, place the value of risk free rate (as decimal upto 4 decimal places 0.1234) 30-day 2.80% 60-day 2.88% 91-day 3.00% d1 is (give the answer with 4 decimal place example 2.1243) 180-day 3.10% A/ value of C (is give answer as a number 5.44) in dollars A Disregard the information provided in the previous section. Consider (hypothetical) quotes for Air Manitoba (AM) common stock and stock options for December 1, 20XX, and for selected Canadian yields (Exhibits 1 through 3 below). Assume that all options below expire on the last day of the expiry month. Use the Black-Scholes- Merton model to answer the following questions. Exhibit 1 December 1, 20XX Quotations for Air Manitoba (AM) Stock 52W 52W Yield Vol High Low Cls/ Net high low Stock Ticker Div* % P/E 00s /ask /bid last chg Air 87.4 14.25 Manitoba AM 2.7 7 6.2 18692 38.8 38 38.5 -0.2 Exhibit 2 December 1, 20XX Quotations for Listed Air Manitoba Options Stk Exp* P/C Vol Bid Ask Opint Air Manitoba (AM) 38.50 Stk Exp* P/C Vol Bid Ask Oplnt Air Manitoba (AM) 38.50 35 Dec Call 21 4.20 4.30 722 35 Dec Put 32 0.60 0.65 345 367/2 May Call 34 5.50 5.75 536 367/2 May Put 29 3.50 3.70 273 Exhibit 3 December 1, 20XX Quotations for Government of Canada Treasury Bill Yields Assume that AM's annualized historical volatility (standard deviation of continuously compounded returns) is 36%. Use the Black- Scholes-Merton model to value the "May 364/2 Call" option. place the value of risk free rate (as decimal upto 4 decimal places 0.1234) 30-day 2.80% 60-day 2.88% A/ 91-day 300% 364/2 May Put 29 3.50 3.70 273 Exhibit 3 December 1, 20XX Quotations for Government of Canada Treasury Bill Yields Assume that AM's annualized historical volatility (standard deviation of continuously compounded returns) is 36%. Use the Black- Scholes-Merton model to value the "May 36-12 Call" option, place the value of risk free rate (as decimal upto 4 decimal places 0.1234) 30-day 2.80% 60-day 2.88% 91-day 3.00% d1 is (give the answer with 4 decimal place example 2.1243) 180-day 3.10% A/ value of C (is give answer as a number 5.44) in dollars A
