Please answer all the questions ;)

Problem $22-10$ Black$-$Scholes

What are the prices of a call option and a put option with the following characteristics?

$($Do not round intermediate calculations and round your answers to $2$ decimal places,

e$.$g$.,32\mathrm{.}16.)$

Standard

deviation $=60\%$ per year

Call price

Put price Problem $22-12$ Delta

What are the deltas of a call option and a put option

worth less than $$64$ per

share in one year.

a$-1.$ What is the value of a call option with a $$56$ exercise price? $($Do not round

intermediate calculations and round your answer to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

a$-2.$ What is the intrinsic value? $($Do not round intermediate calculations and round

your answer to the nearest whole number, e$.$g$.,32.)$

b$-1.$ What is the value of a call option with a $$49$ exercise price? $($Do not round

intermediate calculations and round your answer to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

b$-2.$ What is the intrinsic value? $($Do not round intermediate calculations and round

your answer to the nearest whole number, e$.$g$.,32.)$

c$-1.$ What is the value of a put option with a $$56$ exercise price? $($Do not round

intermediate calculations and round your answer to the nearest whole number,

e$.$g$.,32.)$

c$-2.$ What is the intrinsic value? $($Do not round intermediate calculations and round

your answer to the nearest whole number, e$.$g$.,32.)$Problem $22-26$ Two$-$State Option Pricing Model

Ken is interested in buying a European call option written on Southeastern Airlines,

Incorporated, a non$-$dividend$-$paying common stock, with a strike price of $$75$ and one

year until expiration. Currently, the company's stock sells for $$80$ per share. Ken knows

that, in one year, the company's stock will be trading at either $$92$ per share or $$67$ per

share. Ken is able to borrow and lend at the risk$-$free EAR of $3\mathrm{.}5$ percent.

a$.$ What should the call option sell for today? $($Do not round intermediate calculations

and round your answer to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

b$.$ What is the delta of the option? $($Do not round intermediate calculations and round

your answer to $2$ decimal places, e$.$g$.,16.)$

c$.$ How much would Ken have to borrow to create a synthetic call? $($Do not round

intermediate calculations and round your answer to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

d$.$ How much does the synthetic call option cost? $($Do not round intermediate

calculations and round your answer to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$Problem $22-12$ Delta

What are the deltas of a call option and a put option with the following characteristics? $($A

negative answer should be indicated by a minus sign. Do not round intermediate

calculations and round your answers to $4$ decimal places, e$.$g$.,\mathrm{.}1616.)$

Stock price $=$$$40$

Exercise price $=$$$35$

Risk$-$free rate $=4\mathrm{.}9\%$ per year, compounded

continuously

Maturity $=9$ months

Standard $=60\%$ per year

deviation

Call option delta

Put option deltaProblem $22-10$ Black$-$Scholes

What are the prices of a call option and a put option with the following characteristics?

$($Do not round intermediate calculations and round your answers to $2$ decimal places,

e$.$g$.,32\mathrm{.}16.)$

Standard