PRINCIPLES OF OPTION PRICING The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Use the information to answer questions through 15. Calls Puts Strike Nov Dec Jan Nov Dec Jan 105 8.40 10 11.50 5.30 1.30 2.00 110 4.40 7.10 8.30 0.90 2.50 3.80 115 1.50 3.90 5.30 2.80 4.80 4.80 The stock price was 113.25. The risk-free rates were 7 30 percent (November). 7.50 percent (December) and 7.62 percent January). The times to expiration were 0.0384 (November), 0.1342 (December), and 0.211 (anuary). Assume no dividends unless indicated a 14. Find the forward rate of foreign currency Y if the spot rate is $4.50, the domestic interest rate is 6 percent, the foreign interest rate is 7 percent, and the forward contract is for nine months. (The interest rates are continuously compounded.) $4.458 b $5.104 $4.468 d. $4.532 none of the above C. e a 15. Suppose it is currently July, The September futures price is $60 and the December futures price is $68. What does the spread of $8 represent? the cost of carry from July to September b. the expected risk premium from July to September C. the cost of carry from September to December d the expected risk premium from September to December none of the above e