= 0 Let S(t) denotes the price of a non-dividend-paying stock at time t. You are given the followings: Black-Scholes framework is assumed. S(0) = 75, S(12) = 71 and S() The stock's volatility is 0.3. The annual risk-free interest rate is 0.04, compounded continuously. Given an arithmetic average price call option has a payoff based on the average of stock prices at the ends of each of three months from the date of issue. If the strike price for this option is 70, determine the value of this option at the end of two months. (8 marks) = 0 Let S(t) denotes the price of a non-dividend-paying stock at time t. You are given the followings: Black-Scholes framework is assumed. S(0) = 75, S(12) = 71 and S() The stock's volatility is 0.3. The annual risk-free interest rate is 0.04, compounded continuously. Given an arithmetic average price call option has a payoff based on the average of stock prices at the ends of each of three months from the date of issue. If the strike price for this option is 70, determine the value of this option at the end of two months. (8 marks)