1. What should be the value of a call, given the following information? Exercise price: $45 for European put and call options
Time to expiry: 115 days
Underlying stock price = $48
Annual risk free rate = 4.5% Put is selling for $3.75
A. $8.00 B. $3.77 C. $7.37 D. $7.77
2. Calculate the payoff at expiration for a call, and a put option on the S&P 100 stock index in which the underlying price is $579.32 at expiration, the multiplier is 100, and the exercise price is $450
A. (Call, Put): ($12,932, $0)
B. (Call, Put): ($7,068, $0)
C. (Call, Put): ($0, $12,932)
D. (Call, Put): ($0, $7,068)