1) Based on today's quote for ABC stock and option with 6 months to expiration:

Current stock price for ABC: 100

Stock pays no dividends.

Strike price of call option: 97

Annual risk-free rate: .03

Expected return of stock (arith mean): .12

Standard deviation (volatility) of annualized return: .3

Market price of call option: 10

Using the same data for ABC from above. Estimate the expected price of the ABC stock 6 months from now using the continuous return approach. (ignore Binomial Model) Please show work clearly.

Using the same data for ABC from above. Estimate the expected price of the ABC stock 6 months from now using the continuous return approach. (ignore Binomial Model)