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61.
What is the value of a 6-month call with a strike price of $25 given the
Black-Scholes option pricing model and the following information?
62.
What is the value of a 6-month put with a strike price of $27.25 given the
Black-Scholes option pricing model and the following information?
63.
What is the value of a 3-month put with a strike price of $45 given the
Black-Scholes option pricing model and the following information?
64.
A stock is currently selling for $56 a share. The risk-free rate is 3 percent
and the standard deviation is 18 percent. What is the value of d1 of a 9-
month call option with a strike price of $57.50?
65.
A stock is currently selling for $36 a share. The risk-free rate is 3.8 percent
and the standard deviation is 27 percent. What is the value of d1 of a 9-
month call option with a strike price of $40?
66.
The delta of a call option on a firm's assets is 0.767. This means that a
$75,000 project will increase the value of equity by:
67.
The delta of a call option on a firm's assets is 0.727. This means that a
$195,000 project will increase the value of equity by:
68.
The current market value of the assets of Smethwell, Inc. is $54 million,
with a standard deviation of 16 percent per year. The firm has zero-coupon
bonds outstanding with a total face value of $40 million. These bonds
mature in 2 years. The risk-free rate is 4 percent per year compounded
continuously. What is the value of d1?
69.
The current market value of the assets of Cristopherson Supply is $46.5
million. The market value of the equity is $28.7 million. The risk-free rate is
4.75 percent and the outstanding debt matures in 4 years. What is the
market value of the firm's debt?
70.
The current market value of the assets of Nano Tek is $19.5 million. The
market value of the equity is $7.5 million. The risk-free rate is 4.5 percent
and the outstanding debt matures in 5 years. What is the market value of
the firm's debt?
71.
You need $12,000 in 6 years. How much will you need to deposit today if
you can earn 11 percent per year, compounded continuously? Assume this
is the only deposit you make.
72.
A stock is selling for $60 per share. A call option with an exercise price of
$65 sells for $3.31 and expires in 4 months. The risk-free rate of interest is
2.8 percent per year, compounded continuously. What is the price of a put
option with the same exercise price and expiration date?
73.
A put option that expires in eight months with an exercise price of $57 sells
for $3.85. The stock is currently priced at $59, and the risk-free rate is 3.1
percent per year, compounded continuously. What is the price of a call
option with the same exercise price and expiration date?
74.
What is the price of a put option given the following information?
75.
What is the delta of a put option given the following information?
76.
You own a lot in Key West, Florida, that is currently unused. Similar lots
have recently sold for $1.2 million. Over the past five years, the price of land
in the area has increased 10 percent per year, with an annual standard
deviation of 19 percent. A buyer has recently approached you and wants an
option to buy the land in the next 9 months for $1,310,000. The risk-free
rate of interest is 7 percent per year, compounded continuously. How much
should you charge for the option?
(Round your answer to the nearest
