Reference no: EM133071882
As a financial analyst at deutsche bank investment banking, you are evaluating European call options and put options using Black Scholes model. Suppose stock price of quantumTech is currently $75. The stock's standard deviation is 7.0% per month. The option with strike price of $75 matures in 90 days. The risk-free interest rate is 0.8% per month. Please answer the following questions. Please use the website www.optionseducation.org to find the value of options and options delta:
https://www.optionseducation.org/toolsoptionquotes/optionscalculator
Please choose all correct answers. Please note that each incorrect answer will reduce the score by 10%.
1. The standard deviation per year is 70%.
2. The price of the European call option is $13.14
3. If the stock price goes down by $1, then the call option will go up by $0.6015.
4. The risk free interest rate per year is 9.6%
5. The risk free interest rate per year is 1%
6. The standard deviation per year is 24.25%
7. If the stock price goes down by $1, then the put option will go up by $0.3985.
8. The risk free interest rate per year is 8%
9. The standard deviation per year is 16%
10. The risk free interest rate per year is 11.8%
11. The price of the European call option is $4.5062
12. The price of the call option is $3.50
13. The call option will increase by 20 cents if the stock goes up by $1.
14. The call option will decrease 60 cents if the stock goes up by $1.
15. The standard deviation per year is 84%.
16. The call options delta is 0.6015
17. The price of the six month European call option is $3.76
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