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Exhibit: Consider a stock with a volatility of its logarithm of =25%. The current price...

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Exhibit: Consider a stock with a volatility of its logarithm of =25%. The current price of the stock is $58. The stock pays no dividends. An American call option on this stock has an expiration date 8 months from now and a strike price of $60. The risk-free interest rate r is 7%, compounded continuously. 1. In order to compute the value of the American call option using Black-Scholes valuation formula, which of the following are the approximate values of d1 and d2 ? a. 0.2041 and 0.0395 b. 0.1646 and 0.2272 c. 0.2041 and 0.1135 d. 0.1646 and 0.0395 2. The price of the American call option using Black-Scholes valuation formula is approximately a. 5.85 b. 4.97 c. 3.68 d. 2.73 3. Under the same assumptions above, using Black-Scholes formula the price of a European put option is approximately a. 8.63 b. 6.58 c. 4.24 d. 2.68

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