Question: Please explain, if you please show workking on excel Assume the following for Q1-Q3: rf = 0 and underlying at 100. Annual stdev of $45.

Please explain, if you please show workking on excel

Assume the following for Q1-Q3:

rf = 0 and underlying at 100.

Annual stdev of $45. 28 trading days left for the option before expiration. Use 252 trading days for one year.

Q1. PUT option with strike of $107.50.

Q1a. What is the probability for PUT to expire in the money (4 points)?

b. What is the average price of the underlying at expiration conditional on PUT expiring ITM (4 points)?

c. Based on Q1a, and Q1b, how much should the 107.50 strike PUT be priced at (2 points)?

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