1. Black-Scholes-Merton Option Pricing: Use EXCEL to answer this question. Suppose that Lewis & Co. (LEW) stock is trading at $86.75. The annualized standard deviation of daily returns for LEW is 35%. The T-Bill rate is 2.75%. a. Call Price without Dividends: Assume that LEW pays no dividends. What is the BSM price of a call with an exercise price of $95 that matures in 73 days (assume that a year is 252 days)? Note: Use the NORMSDIST function in EXCEL to find N(d1) and N(d2).