Question: Question-3 (12 pts) a) Consider 3 month options with exercise prices of 45TL. The variance of the underlying security is 0.20 . The risk free

Question-3 (12 pts) a) Consider 3 month options with exercise prices

Question-3 (12 pts) a) Consider 3 month options with exercise prices of 45TL. The variance of the underlying security is 0.20 . The risk free interest rate is 6%. The current price of the underlying security is 30TL. Determine the Black Scholes prices for call and put options. ( 8 pts) b) What will be the call price if the stock pays dividends continuously at a rate proportional to its price and the dividend yield is 3% ? ( 4 pts)

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