Question: SINDY index is currently at I = 11,057. Eu ro pe an options on SINDY have a strike price K = $11,000, a maturity T

SINDY index is currently at I = 11,057. Eu ro pe an options on SINDY have a strike price K = $11,000, a maturity T = 45 days, a dividend yield δ = 1.5 percent per year, the risk- free interest rate r = 5 percent per year, and the estimated implied volatility σ = 16 percent per year.

a. Compute the price of a call option using the Merton formula.

b. Compute the price of a put option using the appropriate version of put– call parity.

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