A Stock's Current Price S Is $100 $\sigma$ = 25 Percent Per Year

question 15

Multiple Choice

A stock's current price S is $100.Its return has a volatility of $\sigma$ = 25 percent per year.European call and put options trading on the stock have a strike price of K = $105 and mature after T = 0.5 years.The continuously compounded risk-free interest rate r is 5 percent per year.
-The Black-Scholes-Merton model gives the price of the European put as:

• A) $5.79
• B) $5.99
• C) $8.40
• D) $9.88
• E) None of these answers are correct.

---

Definitions:

Genetic Code

The set of rules by which information encoded in genetic material (DNA or RNA sequences) is translated into proteins by living cells.

Universal

Something that is widespread or applicable in all cases, common to all people or situations without exception.

Common Ancestor

The most recent individual from which all organisms in a group are directly descended.

Gene

A sequence of DNA or RNA that codes for a molecule that has a function, acting as the basic unit of heredity in living organisms.