The following information is given about the options on the stock of a certain company. S_0 = 23 r_c = .09 sigma^2 = .15 X = 20 T = .5 No dividends are expected Use this information to answer questions 1 through 4. What value does the Black-Scholes model predict for the call? a. 5.35 b. 1.10 c. 4.73 d. 6.50 e. cannot be determined Suppose you feel that the call is overpriced. What strategy should you use to exploit apparent misvaluation? a. buy 790 shares, sell 1,000 calls b. buy 700 shares, sell 1,000 calls c. sell short 790 shares, buy 1,000 calls d. sell short 700 shares, buy 1,000 calls e. cannot be determined The price of a put on the stock is a. 0.82 b. 8.64 c. 2.35 d. 4.88 e. cannot be determined If the actual call price is 3.80, the implied volatility (variance) is a. .15 b. greater than .15 c. less than .15 d. infinite e. cannot be determined