Find the Black-Scholes value of a put option on the stock in the previous problem with the same exercise price and expiration as the call option.

12 . Recalculate the value of the option in Problem 10, successively substituting one of the changes below while keeping the other parameters as in Problem 10:

a. Time to expiration 3 months

b. Standard deviation 25% per year

c. Exercise price $55

d. Stock price $55

e. Interest rate 5%

Consider each scenario independently. Confirm that the option value changes in accordance with the prediction of Table 16.1 . LO.1