A non-dividend paying stock has a current price of S. The continuously compounded risk-free interest rate is 2.75%.

The price of the stock over a six-month period follows a binomial model with u = 1.2903 and d = 0.7966. A six-month European put option on the stock with a strike price of ( S − 4.50) has a price of 2.482.

Calculate S.

• 44.22
• 45.72
• 46.97
• 49.11
• 50.24

You are given:

1. The current price to buy one share of XYZ stock is 500.
2. The stock does not pay dividends.
3. The continuously compounded risk-free interest rate is 6%.
4. A European call option on one share of XYZ stock with a strike price of K that expires in one year costs 66.59.
5. A European put option on one share of XYZ stock with a strike price of K that expires in one year costs 18.64.

Using put-call parity, calculate the strike price, K.

• 449
• 452
• 480
• 559
• 582

You are given:

1. The Black-Scholes-Merton framework applies.
2. The prices of some 6-month European options on non-dividend paying Stock Y are:

   Strike Price	Price of Call Option	Price of Put Option
   525	55.92	x
   550	45.46	64.57

The continuously compounded risk-free rate is 3.25%.

Calculate x.

• 50.03
• 50.43
• 50.83
• 51.03
• 51.23

The current price of a non-dividend paying stock is 40 and the continuously compounded risk-free interest rate is 8%. You are given that the price of a 35-strike call option is 3.35 higher than the price of a 40-strike call option, where both options expire in 3 months.

Calculate the amount by which the price of an otherwise equivalent 40-strike put option exceeds the price of an otherwise equivalent 35-strike put option.

• 1.55
• 1.65
• 1.75
• 3.25
• 3.35