1. Use the BlackScholes formula to find the value of a call option on the following stock: Time to expiration = 6 months
Standard deviation = 50% per year Exercise price = $50
Stock price = $50
Interest rate = 3%
Dividend = 0
2. At expiry, a European call option is always worth:
a) the maximum of the exercise price minus the share price, and zero.
b) at least the share price.
c) the difference between the share price and the price paid for the option.
d) None of the above.