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21
41) Repricing an employee stock option involves which one of the following?
A) stock-split
B) stock dividend
C) change in option strike price
D) change in option expiration date
E) change in option premium
42) Which one of the following inputs is included in the Black-Scholes-Merton model but not in
the Black-Scholes model?
A) stock price volatility
B) time to option maturity
C) risk-free interest rate
D) underlying stock price
E) dividend yield
22
43) A stock with a current price of $40 will either move up to $41 or down to $39 over the next
period. The risk-free rate of interest is 2.45 percent. What is the value of a call option with a
strike price of $40?
A) $0.49
B) $0.68
C) $0.86
D) $0.97
E) $1.21
23
44) A stock with a current price of $32 will either move up to $40.00 or down to $30 over the
next period. The risk-free rate of interest is 3 percent. What is the value of a call option with a
strike price of $35?
A) $1.30
B) $1.44
C) $1.87
D) $2.09
E) $2.41
45) A stock with a current price of $25 will either move up to $32 or down to $20 over the next
period. The risk-free rate of interest is 3.5 percent. What is the value of a call option with a strike
price of $30?
A) $0.61
B) $0.72
C) $0.93
D) $1.11
E) $1.36
46) A stock with a current price of $37 will either move up by a factor of 1.20 or down by a
factor of 0.80 each period over the next two periods. The risk-free rate of interest is 4 percent.
What is the current value of a call option with a strike price of $40?
A) $4.16
B) $4.42
C) $4.71
D) $5.09
E) $5.13
26
27
47) A stock with a current price of $18 will either move up by a factor of 1.2 or down by a factor
of 0.9 each period over the next two periods. The risk-free rate of interest is 4.5 percent. What is
the current value of a call option with a strike price of $20?
A) $1.02
B) $1.08
C) $1.17
D) $1.21
E) $1.27
29
48) What is the call option premium given the following information?
Stock price
$
45.00
Strike price
$
40.00
Volatility
35
%
Dividend Yield
0.00
Time
0.50
Riskfree Rate
3.50
%
A) $4.63
B) $5.28
C) $6.39
D) $7.60
E) $8.66
30
49) What is the call option premium given the following information?
Stock price
$
44
Call strike price
$
45
Volatility (std dev)
50
%
Time (months)
3
Risk-free rate
2.00
%
Dividend yield
0
%
A) $3.86
B) $4.04
C) $4.16
D) $4.38
E) $4.50
50) What is the call option premium given the following information?
Stock price
$
36.00
Strike price
$
30.00
Volatility
16
%
Dividend Yield
0.00
Time
0.75
Riskfree Rate
2.70
%
A) $5.91
B) $6.28
C) $6.75
D) $6.90
E) $7.13
32
51) What is the call option premium given the following information?
Stock price
$
47
Strike price
$
40
Standard deviation
44
percent
Risk-free rate
4
percent
Dividend yield
0
percent
Time to maturity
3
months
A) $7.16
B) $7.78
C) $8.58
D) $9.03
E) $9.49
33
52) What is the put option premium given the following information?
Time (years)
0.25
Strike price
$
40.00
Stock price
$
37.00
Risk-free rate
2.00
%
Volatility
30
%
A) $1.58
B) $2.01
C) $2.59
D) $3.96
E) $4.15
34
53) What is the put option premium given the following information?
Stock price
$
27
Strike price
$
30
Standard deviation
25
percent
Risk-free rate
4
percent
Dividend yield
0
percent
Time to maturity
9
months
A) $3.62
B) $4.23
C) $4.47
D) $4.89
E) $5.01
36
54) What is the put option premium given the following information?
Stock price
$
28.00
Strike price
$
35.00
Volatility
50
%
Dividend Yield
0.00
Time
0.50
Riskfree Rate
3.50
%
A) $7.49
B) $7.98
C) $8.28
D) $8.76
E) $9.64
