Problem 1.4. (12.5 pt) Do following problems 1. (2.5 pt) Let C($(0), K.0.1.1,8) and P(S(0), K, 0,1,1,5) denote Black-Scholes option prices for European call and put options respectively. Show that Black Scholes prices satisfy put-call parity relation. In other words prove that C-P-S(O)-57 - Ke- 2. (5 pt) You are given (a) The stock follows BS model (b) S(0) - 100 (c) continuously paid dividend rate is 0.01 (d) continuously compounded risk free mate is 0.06 (e) Var(In($(0) -0.52 Calculate the value of 2-year 90-strike call option 3. (5 pt) Consider BS Framework for prepaid forward price of a stock with following information: $(0) - 100, the stock pay discrete dividend of 10 three months from now, 0 -0.25, 0.05. Calculate the price of a 1-year European call option with strike price of 95