1. Share price = $ 100, exercise price = $ 95, interest rate = 8%, timeframe = 180 days, standard deviation = 0.6. Calculate the option price using the Black Scholes formula. 2. Suppose we have the following regression on fund A and B

a. Which one has a better selection ability? A or B?

b. Which one has timing ability? A or B?

RP-RF - RM-RF RA-RF Prob value 0,2 + 1,5 (RM - RF) + 0,93 (RM -RF)2 + e (0.01) (0.01) (0.23) = RB - RF Prob value 0,4 + 1,5 (RM -RF) + 1,5 (RM - Rp)2 + e (0.21) (0.01) (0.01)