Problem 8: (Based on formulae in Section 75 of Day of the Quants) current price of a stock is $25 and it has a continuous dividend yield of 8% per annum and a volatility of 2% per day. If the risk-free interest rate is 6% per annum continuously compounded then find the value of a European (no early exercise) call and put option with strike of $25 and 70 days to expiration. Find the call and put deltas. b. The current price of a futures contract is $600 and it has a volatility of 7.2169% per month. If the risk-free interest rate is 12% per annum continuously compounded then find the value of a European (no early exercise) call and put option with strike of $650 and 300 days to expiration. Find the call and put deltas. In parts a and b confirm your call and put values by verifying Put-Call Parity Problem 8: (Based on formulae in Section 75 of Day of the Quants) current price of a stock is $25 and it has a continuous dividend yield of 8% per annum and a volatility of 2% per day. If the risk-free interest rate is 6% per annum continuously compounded then find the value of a European (no early exercise) call and put option with strike of $25 and 70 days to expiration. Find the call and put deltas. b. The current price of a futures contract is $600 and it has a volatility of 7.2169% per month. If the risk-free interest rate is 12% per annum continuously compounded then find the value of a European (no early exercise) call and put option with strike of $650 and 300 days to expiration. Find the call and put deltas. In parts a and b confirm your call and put values by verifying Put-Call Parity