Question 5 to 8 use the following set-up A stock price is currently $96. At the end of three months, it is expected to be 102 and 90. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a three-month European put option with a strike price of $100? 96 5. How much is d? A. 1.105 B. 0.938 C. 1.020 D. 1.063 E. 1.097 6. How much is the payoff f_d? A. 3.000 B. 10.000 C. 5.000 D. 7.000 E. 4.000 7. How much is the risk neutral probability p? A. 0.570 B. 0.662 C. 0.810 D. 0.930 E. 1.105 8. How much is option price f? A. 3.317 B. 2.516 C. 2.020 D. 2.901 E. 2.281 1014 doum wall Ci A CEN

A stock price is currently 596 . At the end of three months, it is expected to be 102 and 90 . The risk-free interest rate is 87 per perumum with continuous compounding. What is the value of a three-month Eurupean put option with a strike price of $100 ? 5. How much is at? A. 1.105 B. 0.938 C. 1.020 D. 1.063 E. 1.097 6. How much is the payoff fd ? A. 3.000 B. 10.000 C. 5.000 D. 7.000 E. 4.000 7. How much is the risk neutral probability p ? A. 0.570 B. 0.662 C. 0.810 D. 0.930 E. 1.105 8. How much is option price f ? A. 3.317 B. 2.516 C. 2.020 D. 2.901 E. 2.281