1. Following the below derivation for the call option price, derive the put option formula Po as given at the bottom of the page. We use 1 UT in the risk-neutral world. Now the question of u is settled in the risk-neutral world), we can move to derive the Black-Scholes formulas for the call and put options. Call option: Co= e TT E (max(S(T) - K,0) 1 van Lmax (5(0)el*o*)P+vVTx K,0) e t* de . Put option: Por e TT E (max(K -S(T), 0] 1 27 J- Lmax (K S(0)e(4+4o*)+0VT=,0) e **de In the following, we proceed to derive the Black-Scholes formula for the call. First we notice that S(0)e(+402)T+ovi'r K, * { max (S(O)e(++*)+8VTz K,0) 0,