The current stock price of a company is $68 and the stock is expected to have a dividend yield 3% per year. The instantaneous risk free rate of return is 3.5%. The instantaneous standard deviation of its stock is 35%. You wish to purchase options on this stock with an exercise price of $72 and an expiration date 9 months from now. Using the Black-Scholes Option Pricing Model to price the call option, its hedge ratio (delta) is __________ which is the number of stocks required to hedge against the price risk of holding one option.

A.

-0.5098

B.

-0.0246

C.

0.4902

D.

0.3715

E.

-0.3278

The current stock price of a company is $68 and the stock is expected to have a dividend yield 3% per year. The instantaneous risk free rate of return is 3.5%. The instantaneous standard deviation of its stock is 35%. You wish to purchase options on this stock with an exercise price of $72 and an expiration date 9 months from now. Using the Black-Scholes Option Pricing Model, the put option should be worth __________ today.

	A.	$10.18
	B.	$11.55
	C.	$8.76
	D.	$12.63
	E.	$6.53