(b) price of RM35 and 2 years 9 months until expiration. Ali Baba's share is currently trading RM37 per share, and the volatility is 35 percent per annum. Treasury-Bill's securities that mature in one...

Extracted text: (b) price of RM35 and 2 years 9 months until expiration. Ali Baba's share is currently trading RM37 per share, and the volatility is 35 percent per annum. Treasury-Bill's securities that mature in one year yield a continuously compounded interest rate of 9 percent per annum. Allison quite interested in purchase a European call option on Ali Baba industry, with a strike i. Calculate the price of put and call option for Allison if d, = 0.5909 and d2 = 0.2409. ii. Despite of current market outlook, GMI bond has shown upward trend and Allison has interested to invest in the bond. The GMI bond per warrant package priced to sell at RM999. Each bond comes with 150 attachable warrants that gives the owner the right to buy at exercise price of RM35 per share. The value of a warrant has been estimated at RM2.50. The bonds mature in 25 years. Besides, Allison has 17,300 outstanding shares and the firm's value net of debt is RM890,900. If the interest rate is 11 percent, calculate the bond's annual coupon payment and gain from exercising a single warrant.