The current price of a non-dividend-paying stock is $40. Over the next year it is expected to rise to $45 or fall to $35. An investor buys put options with a strike price of $41. What is the value of each option? The risk-free interest rate is 3% per annum with continuous compounding. A. $3.62 B. $2.20 C. $3.00 D. $4.73 When the non-dividend paying stock price is $25, the strike price is $25, the risk-free rate is 6%, the volatility is 20% and the time to maturity is 3 months. Which of the following is the price of a European call option on the stock? A. 24.6N(0.2)25N(0.1) B. 24.6N(0.1)25N(0.2) C. 25N(0.1)24.6N(0.2) D. 25N(0.2)24.6N(0.1) What is the price of a European put option 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? A. 52N(0.54)49N(0.39) B. 49N(0.54)52N(0.39) C. 49N(0.39)52N(0.54) D. 52N(0.39)49N(0.54) Three put options on a stock have the same expiration date and strike prices of $52,$58, and \$64. The market prices are \$5, \$6, and \$9, respectively. Explain how a butterfly spread can be created. Construct a table showing the profit from the strategy. For what range of stock prices would the butterfly spread lead to a loss? A. When price is below $52 or above $64 B. When price is between $52 and $64 C. When price is below $54 or above $62 D. When price is between $54 and $62