Question: This problem tries to calculate at-the-money option prices using the Black-Scholes formula, defined as follows: Time to maturity is 1 year from today. The current

This problem tries to calculate at-the-money option prices using the Black-Scholes formula, defined as follows:

Time to maturity is 1 year from today. The current stock price is $100, the strike price is $100, the risk-free-interest rate is 10% per annum with continuous compounding, and the volatility is 30% per annum. The stock does not pay any dividend. Calculate the values of the following. Choose the answer that is the closest after rounding. (Each problem below has 1 point each.)

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