It is necessary to evaluate the call option using the Black Sholes method and verify the result using the risk-neutral method. Order of actions: 1. Calculate d1. 2. Calculate d2. Determine from Table N(d1) and N(d2). 3. 4. Calculate the cost of the call using the Black Sholes method. Call value = [Nd1)*Share price)-[N(d2)*PV(EX)] 5. Determine the relative growth and the relative decline in the share price: u and d values, respectively. 6. Draw a picture (a tree). 7. Write down the risk-neutral equation by substituting data for it. 8. Calculate the cost of the call using the risk-neutral method.

Current share price, $	Average square deviation, % p.a.	Interest rate, % p.a.	Maturity price, $	Maturity, months
60	55	17	60	3