1. For this problem set, assume that the volatility of return of the underlying asset, a share of stock, is 50% and its expected return is 12%. The initial stock price is $10 and the continuously compounded risk-free rate of return is 6%. Equity holders demand a rate of return of 13%. Any option, either call or put, is a European option has a strike price of $11 and an expiration date of one half (1/2) year from today. Assuming a volatility of =60% (versus 50%), what is the European call option's value, Co? Reserved to four decimal places.

2. For this problem set, assume that the volatility of return of the underlying asset, a share of stock, is 50% and its expected return is 12%. The initial stock price is $10 and the continuously compounded risk-free rate of return is 6%. Equity holders demand a rate of return of 13%. Any option, either call or put, is a European option has a strike price of $11 and an expiration date of one half (1/2) year from today. Reserved to four decimal places.Assuming an initial stock price of So=$11(versus $10), what is the European put options value, p₀?

3.what is the value of a European call option, c₀, per the Black-Scholes model?

4. what is the value of a European call option, c₀, per the Black-Scholes model?

5. Assuming a risk-free rate of rf = 7% (versus 6%), what is the European put option's value, p_o?