Q6. A stock price is currently $70. Over each of the next two three-month periods it is expected to go up by 6% or down by 5%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $72? Q7. The volatility of a stock price is 30% per annum. What is the standard deviation of the percentage price change in one trading day? Q8. Calculate the price of a three-month European put option on a non-dividend paying stock using the Black -Scholes model with a strike price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. 09. What difference does it make to your calculations in the previous problem (Q8) if a dividend of $1.50 is expected in two months? Q10. What is the price of a European call option using the Black -Scholes model on a non- dividend-paying stock when the stock price is $52, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is three months? At what future stock price will the buyer of the call option breakeven? QI1. What is the price of a European put option on a non-dividend-paying stock using the Black -Scholes model when the stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months? At what future stock price will the buyer of the put option breakeven