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12. The black-scholes OPM is dependent on which five parameters? a. stock price, exercise price, risk...

12. The black-scholes OPM is dependent on which five parameters?

a. stock price, exercise price, risk free rate, beta, and time to maturity

b. stock price, risk free rate, beta, time to maturity, and variance

c. stock price, risk free rate, probability, variance and exervise price

d. stock price, exercise price, risk free rate, variance and time to maturity

13. a six-month call option has an exercise price of US$45 while the underlying stock currently sells for US$50. The call option is selling for US$9.75 and the risk-free rate of return is 7% per annum. What is the value of the put option?

a. 3.20

b. 4.20

c. 6.20

d.cannot be determined

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Answer #1

eguiuive u black - scholes mode Tne OpiM In put raible 7 gрag ? rt (4) value o ca X d -p Culen etock price stike pyice k: vipakity y put uting -Cul Value o cu + prenent value k value put f stoct ptice Pu Ck) Sublieting given fnlaimation so Jh d tb r

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