Question 32 (2.5 points)

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Assume S = $23.25, K=$25, = 24%, r = 5.5%, the stock pays a 2.5% continuous dividend and the option expires in 45 days? Use the Black-Scholes option pricing model to answer this question. What is the price of a $25 strike European call?

Question 32 options:

	$0.2950
	$0.2356
	$0.3646
	$0.4451
	$0.5848

Question 33 (2.5 points)

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Assume S = $23.25, K=$25, = 24%, r = 5.5%, the stock pays a 2.5% continuous dividend and the option expires in 45 days? Use the Black-Scholes option pricing model to answer this question. What is the price of a $25 strike European put?

Question 33 options:

	$1.6984
	$1.8882
	$1.5188
	$1.3500
	$1.7848

Question 34 (2.5 points)

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The exchange rate is 95/, the yen-denominated interest rate is 1.5%, the euro-denominated interest rate is 3.5%, and the exchange rate volatility is 10%. Based on the Black-Scholes option pricing model, what is N(d2) when computing the price of a 90-strike yen-denominated euro call with 6 months to expiration?

Question 34 options:

	0.721683
	0.811243
	0.879223
	0.612921
	0.744911

Question 35 (2.5 points)

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What is the payoff on a 90 strike Asian option given it is a geometric average price put? The recent prices are 89, 90, 91, 87, 85, and 88.

Question 35 options:

	$1.345827
	$1.020478
	$0.843491
	$1.688799
	$0.587849