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28 Sep 2019
1)The current price of a stock is $100. What is the Black-Scholes model price of a six-month call option at strike $101, given an interest rate of 2% and a dividend rate of 1%? The volatility is 25%.
(a) $6.30
(b) $6.52
(c) $6.56
(d) $6.78
2)The current price of a stock is $100. What is the Black-Scholes model price of a six-month put option at strike $98, given an interest rate of 2% and a dividend rate of 1%? The volatility is 45%.
(a) $11.02
(b) $11.22
(c) $11.68
(d) $11.73
1)The current price of a stock is $100. What is the Black-Scholes model price of a six-month call option at strike $101, given an interest rate of 2% and a dividend rate of 1%? The volatility is 25%.
(a) $6.30
(b) $6.52
(c) $6.56
(d) $6.78
2)The current price of a stock is $100. What is the Black-Scholes model price of a six-month put option at strike $98, given an interest rate of 2% and a dividend rate of 1%? The volatility is 45%.
(a) $11.02
(b) $11.22
(c) $11.68
(d) $11.73
Casey DurganLv2
28 Sep 2019
