11.1 Introduction to Futures and Options Markets, 3rd Edition © 1997 by John C. Hull Volatility Problem Suppose that observations on a stock price (in dollars) at the end of each of 15 consecutive weeks are as follows: 30 1/4, 32, 31 1/8, 30 1/8, 30 1/4, 30 3/8, 30 5/8, 33, 32 7/8, 33, 33 1/2, 33 1/2, 33 3/4, 33 1/2, 33 1/4. Estimate the stock price volatility.

11.2 Introduction to Futures and Options Markets, 3rd Edition © 1997 by John C. Hull Problem What is the price of a European call option on a nondividend-paying stock when the stock price is $52, the strike price is $50, the risk- free interest rate is 12 percent, the volatility is 30 percent per annum, and the time to maturity is three months.

11.3 Introduction to Futures and Options Markets, 3rd Edition © 1997 by John C. Hull Problem What is the price of European put option on a nondividend-paying stock when the stock price is $69, the strike price is $70, the risk free interest rate is 12 percent per annum, the volatility is 35 percent per annum, and the time to maturity is six months.