The following information is given about options on the stock of a certain company. S0 = 23 Rx = 0.09X = 20 o^2 = 0.09 T = 0.5 o² = 0.15 No dividends are expected. Use this information to answer questions 1 through 4. 1. The price of a put on the stock is: (Due to differences in rounding your calculations may be slightly different. "none of the above" should be selected only if your answer is different by more than 10 cents.) a. 0.85 b. 8.64 C. 2.35 d. 4.88 e. none of the above 2. To construct a riskless hedge, the number of puts per 100 shares purchased is: (Due to differences in rounding your calculations may be slightly different. "none of the above" should be selected only if your answer is different by more than 1%.) a. 0.7580 b. 0.2420 C. -0.2480 d. -0.6628 e. none of the above 3. If the actual call price is 3.79, the implied standard deviation is a. 0.25 b. greater than 0.25 C. less than 0.25 d. infinite e. none of the above 4. If we now assume that the stock pays a single dividend of 2.25 in three months, what stock price should we use in the model? (Due to differences in rounding your calculations may be slightly different. "none of the above" should be selected only if your answer is different by more than 10 cents.) a. 17.75 b. 20.75 C. 20.00 d. 20.80 e. none of the above
