Question 1. Current Stock Price $42.00 Exercise Price $35.00 Time Until Expiration 6 Months Continuously Compounded Risk-Free Rate 3.50% Variance of Underlying Stock Returns 49.00% Call option premium = ?

1. $11.86

2. $12.86

3. $13.86

4. $14.86

5. None of Above

Question 2. Black-Scholes Option-Pricing S 45 Current stock price X 50 Exercise price r 5.00% Risk-free rate of interest T 9 months Time to maturity of option Variance 6.308% Stock volatility

1. 1. Call option price = 4.63
2. 2. Call option price = 2.83
3. 3. Call option price = 2.93
4. 4. Call option price = 2.63
5. 5. None of Above