1) You are to value an ATM call and put with 3 months to expiry. The current stock price is $20, the risk-free rate is 10% and volatility is 25% per annum. A) Use the Black-Scholes formula to determine the price of an ATM call and put with 3 months to expiry. Verify that put-call parity is met. B) Compute the delta (8) and gamma (T) for the option. If the stock price jumped instantaneously to $25, how well did the delta predict the options' price change? C) Illustrate how the options are priced using a three-level (four end-nodes) binomial tree D) If the market price of the call was .98, what would be the implied (BS) volatility? 1) You are to value an ATM call and put with 3 months to expiry. The current stock price is $20, the risk-free rate is 10% and volatility is 25% per annum. A) Use the Black-Scholes formula to determine the price of an ATM call and put with 3 months to expiry. Verify that put-call parity is met. B) Compute the delta (8) and gamma (T) for the option. If the stock price jumped instantaneously to $25, how well did the delta predict the options' price change? C) Illustrate how the options are priced using a three-level (four end-nodes) binomial tree D) If the market price of the call was .98, what would be the implied (BS) volatility