1) This question is based on the following information on the Black-Scholes (BS) model.

index level = 1890

exercise price = 1988

time to option maturity = 0.49 years

continuously compounded risk-free rate = 2%

estimated continuously-compounded dividend yield on the index = 6% per year

estimated index return standard deviation = 30%

Based on the above input, what is the European call price using the BS model?

2) This question is based on the following information on the Black-Scholes (BS) model.

???? index level = 1890

???? exercise price = 1988

???? time to option maturity = 0.49 years

???? continuously compounded risk-free rate = 2%

???? estimated continuously-compounded dividend yield on the index = 6% per year

???? estimated index return standard deviation = 30%

3) This question is based on the following information on the Black-Scholes (BS) model.

???? index level = 1890

???? exercise price = 1988

???? time to option maturity = 0.49 years

???? continuously compounded risk-free rate = 2%

???? estimated continuously-compounded dividend yield on the index = 6% per year

???? estimated index return standard deviation = 30%

What is the risk neutral probability that this call option finishes in-the-money?

4) This question is based on the following information on the Black-Scholes (BS) model.

???? index level = 1890

???? exercise price = 1988

???? time to option maturity = 0.49 years

???? continuously compounded risk-free rate = 2%

???? estimated continuously-compounded dividend yield on the index = 6% per year

???? estimated index return standard deviation = 30%

If the market call price is $1 lower than the BS price, assume that dividend yield is estimated correctly, what can we conclude about the estimated volatility?