1. A European call option with a strike price of $99.0 and maturity of 6.0 months costs $25.216.The underlying stock price is $119.0. The continuously compounded risk-free rate is 9.0 percent per year. What is the value of a European put option with strike price of $99.0 and maturity of 6.0 months?

a. 1.2723

b. 0.8598

c. 4.9195

d. 5.2164

2. One of the main problems with the arbitrage pricing theory is __________.

a) its use of several factors instead of a single market index to explain the risk-return relationship

b) the introduction of nonsystematic risk as a key factor in the risk-return relationship

c) that the APT requires an even larger number of unrealistic assumptions than does the CAPM

d) the model fails to identify the key macroeconomic variables in the risk-return relationship

e) None of these answers are correct.