Question: CHAPTER 5: OPTION PRICING MODELS: THE BLACK-SCHOLES-MERTON MODEL MULTIPLE CHOICE TEST QUESTIONS The following information is given about options on the stock of a certain

CHAPTER 5: OPTION PRICING MODELS: THE BLACK-SCHOLES-MERTON MODEL

MULTIPLE CHOICE TEST QUESTIONS

The following information is given about options on the stock of a certain company.

S0 = 23 X = 20

rc = 0.09 T = 0.5

s2 = 0.15

No dividends are expected.

Use this information to answer questions 1 through 8.

1. What value does the Black-Scholes-Merton model predict for the call? (Due to differences in rounding your calculations may be slightly different.

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