Problem 22-12 Delta What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., .1616.) Stock price $50 = Exercise price = $50 4.4% per year, compounded Risk-free rate= continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745x

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Problem 8-14 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 4.0% +0.50RM + eA RB = -1.2% + 0.70RM + eB OM 17%; R-squareд = 0.26; R-squareg = 0.18 Assume you create a portfolio Q, with investment proportions of 0.40 in a risky portfolio P, 0.35 in the market index, and 0.25 in T-bill. Portfolio Pis composed of 70% Stock A and 30% Stock B. a. What is the standard deviation of portfolio Q? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.) Answer is complete but not entirely correct. Standard deviation 10.98 c. What is the "firm-specific" risk of portfolio Q? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 4 decimal places.) Firm-specific % Answer is complete but not entirely correct. 0.0025 x

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