= S. = = = 1. Let St be the price of a stock at time t with t = 0 being today. Assume = $80. The volatility of the stock is 30% per annum. The expected return of the stock is 12%. The risk-free rate is 10%. Let f(Si) = 0 if Si 75. (a) Graph y = f(Si). Construct the derivative whose payoff is given by this graph. (b) Use Black-Scholes to price this derivative (C) Assuming Black-Scholes, compute the delta of this derivative. = S. = = = 1. Let St be the price of a stock at time t with t = 0 being today. Assume = $80. The volatility of the stock is 30% per annum. The expected return of the stock is 12%. The risk-free rate is 10%. Let f(Si) = 0 if Si 75. (a) Graph y = f(Si). Construct the derivative whose payoff is given by this graph. (b) Use Black-Scholes to price this derivative (C) Assuming Black-Scholes, compute the delta of this derivative