Question: In the Black-Scholes framework, a put option is priced as where p= di d = Ke- N(-d) - SN(-d) S K In +(r+o/2)T T

In the Black-Scholes framework, a put option is priced as where p= di d = Ke- N(-d) - SN(-d) S K In +(r+o/2)T

In the Black-Scholes framework, a put option is priced as where p= di d = Ke- N(-d) - SN(-d) S K In +(r+o/2)T T di A. Derive the expected return and volatility for a put option. Compare the Sharpe ratio of the put to that of the underlying asset and explain the relationship. B. Derive the beta for a put option. Compare it to the beta of the underlying asset and explain the relationship.

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