Use the Black

$-$

Scholes formula for the following stock:

Time to expiration

$6$

$$months

Standard deviation

$5$

$3$

$\%$

$$per year

Exercise price $

$4$

$3$

Stock price $

$4$

$3$

Annual interest rate

$3$

$\%$

Dividend

$0$

Recalculate the value of the call with the following changes:

a

$.$

$$Time to expiration

$3$

$$months

b

$.$

$$Standard deviation

$2$

$5$

$\%$

$$per year

c

$.$

$$Exercise price $

$4$

$9$

d

$.$

$$Stock price $

$4$

$9$

e

$.$

$$Interest rate

$5$

$\%$

Select each scenario independently.

Note: Round your answers to

$2$

$$decimal places. What is the new value of each call option?

a

$.$

$)$

$$C falls to

$\_$

$\_$

b

$.$

$)$

$$C falls to

$\_$

$\_$

c

$.$

$)$

$$C falls to

$\_$

$\_$

d

$.$

$)$

$$C rises to

$\_$

$\_$

e

$.$

$)$

$$C rises to

$\_$

$\_$