Question 23 (2.5 points)

Using a binomial tree, what is d when calculating the price of a $40 strike 6-month European call option, using 3-month intervals as the time period? Assume the following data: S = $36.80, = 0%, r = 5.0%, = 0.35.

Question 23 options:

	1.206230
	0.850016
	0.765678
	1.485293
	1.336969

Question 24 (2.5 points)

Using a binomial tree, when calculating the price of a $40 strike 6-month European call option, using 3-month intervals as the time period, what is the European call option value at maturity (at the end of period 2) if the stock price goes up and then down (or down and then up)? Assume the following data: S = $36.80, = 0%, r = 5.0%, = 0.35.

Question 24 options:

	$0
	$0.7050
	$12.2342
	$17.7632
	$1.8250

Question 25 (2.5 points)

Using a binomial tree, when calculating the price of a $40 strike 6-month European call option, using 3-month intervals as the time period, what is B (Dollar Amount Borrowed in the replicating portfolio) at the first node (Time 0)? Assume the following data: S = $37.90, = 0%, r = 5.0%, = 0.35.

Question 25 options:

	-$16.0847
	-$14.3848
	-$12.9940
	-$18.6957
	-$15.1442

Question 26 (2.5 points)

omial tree, when calculating the price of a $40 strike 6-month European put option, using 3-month intervals as the time period, what is the stock price at maturity (at the end of period 2) if the stock price goes up and then down (or down and then up)? Assume the following data: S = $36.80, = 0%, r = 5.0%, = 0.35.

Question 26 options:

	$38.8594
	$37.7316
	$36.8088
	$40.7050
	$27.3838

Question 27 (2.5 points)

Using a binomial tree, when calculating the price of a $40 strike 6-month European put option, using 3-month intervals as the time period, what is B (Dollar Amount Borrowed in the replicating portfolio) at the up node at the end of Period 1 (after the stock price goes up once)? Assume the following data: S = $39.70, = 0%, r = 5.0%, = 0.35.

Question 27 options:

	$3.8142
	$7.5860
	$10.6719
	$0
	$11.3157