OGQion # 3 (10 Points); Face Value. Of Note: Asset Volatili Si na Risk-Free Rate, % : Dividend Yield 36: Strike Call Delta N(d2) exp(-rT) 00 0.00 7.00 0.00 o _ 8651 o_ 26 O. 9324 Maturi 0_7627 O. 9324 ears : $100 0.6517 0.4 62 0.9324 0.53140 0 48 O. 9324 0.2628 O. 9324 A client of your bank wants to buy a structured with the note payoff at maturity (T) linked to the asset price (ST) at that time. The client wishes to incorporate/embed into the note the dollar payoff (not profit) of a standard LONG strangle on the asset with and K2=$115. If the dollar payoff of the standard short strangle is $X, then the note payoff at maturity will be A+ B$X; A=$70, B=0.90. (a) What is the current (t=0) fair value of the Note? (b) For the Note to sell at par now, what needs to be the value of A in the payoff function ?