Consider the following data relevant to valuing a European-style call option on a nondividend paying stock: X = 40, RFR = 9 percent, T = six months (i.e., 0.5), and σ = 0.25.

a. Compute the Black-Scholes option and hedge ratio values for the series of hypothetical current stock price levels shown in Exhibit.

b. Explain why the values in Part a differ from those shown in Exhibit.
c. For S = 40, calculate the Black-Scholes value for a European-style put option. How much of this value represents timepremium?

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Call Value (S) Stock Price (S) 25 35 Hedge Ratio 0.44 1.51 3.53 6.49 10.19 14.42 18.98 0.1321 0.3054 0.5020 0.6736 0.8003 0.8837 0.9347