11. Black-Scholes What are the prices of a call option and a put option with the following characteristics?

Stock price $58

Exercise Price $55

Risk free rate 4% per year compounded continuously

Maturity = 5 months

Standard Dev = 53% per year

16 Risk-Neutral Valuation A stock is currently priced at $77. The stock will either increase or decrease by 16 percent over the next year. There is a call option on the stock with a strike price of $75 and one year until expiration. If the risk-free rate is 8 percent, what is the risk-neutral value of the call option?