S = $23.50, ? = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option with strike $ 25 expires in 3 months, what is d1 by the Black-Scholes formula?

-0.0128

-0.0472

-0.0256

-0.3931

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Question 21 pts

Assume S = $28.50, ? = 0.32, r = 0.04, the stock pays a 1.0% continuous dividend and the put option with the strike price of $30 expires in 110 days, what is d2 by the Black-Scholes formula?

-0.3284

-0.1527

-0.2265

-0.4472

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Question 31 pts

What is the price of a $60 strike put? Assume S = $63.75, ? = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days?

$0.66

$0.55

$0.44

$0.33

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Question 41 pts

Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r($) = 0.045, r(pound) = 0.06, ? = 0.15 and the option expires in 6 months.What is the call option price?

$0.133

$0.143

$0.153

$0.163

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Question 51 pts

Suppose the spot exchange rate is $1.22 per British pound and the strike on a dollar denominated pound put is $1.20. Assume $r = 0.04, r(pound) = 0.05, ? =0.20 and the option expires in 270 days. What is the put option price?

$0.075

$0.085

$0.095

$0.105

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Question 61 pts

Which of the following statement(s) is(are) correct? I) N(x) function in the Black-Scholes formula is the cumulative normal distribuition function. II) N(x) function in the Black-Scholes formula is the probability that a random number from a standard normal distribution is less than x. III) For N(x) function in the Black-Scholes formula, 1-N(x) = N(-x)

I only

I and II only

II and III only

all of above.

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Question 71 pts

Which of the following is NOT the assumption needed to derive the Black-Scholes formula?

The volatility of returns is known and constant

The future underlying stock price is known and constant

the risk-free rate is known and constant

The dividend yield is known and

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Question 81 pts

Which of the following is NOT true regarding the Black-Scholes formula?

The binomial solution converges to the Black-Scholes formula when taking infinite number of steps.

The Black-Scholes formula can price both European and American options.

To derive the Black-Scholes formula, we assume the stock returns are normally and independently distributed.

The Black-Scholes formula is also applicable on options with underlying assets such as foreign currencies.

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Question 91 pts

What is the price of a $35 strike call? Assume S = $38.25, ? = 0.25, r = 0.06, the stock pays no dividend and the option expires in 1 month.

$2.50

$3.75

$3.83

$3.54