Question: : Quantitative Problems: . You are given the following information: S-60, K-65, volatility 0.4 per year 8% per year, Time to expiration = 3M What

: Quantitative Problems: . You are given the following information: S-60, K-65, volatility 0.4 per year 8% per year, Time to expiration = 3M What is the probability that a European call option on the stock will be in-th money upon expiration? (7 points) What is the probability that a European put option on the stock will be in-th money upon expiration? (7 points) a. b. c. Use Black and Scholes formula to calculate the call price. (10 points) d. Use Put-Call Parity to calculate the put price using call price from (a). (6 p e. Use Black and Scholes formula to calculate the put price. (10 points)

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