1a) Let S = $60, s = 30%, r = 7%, and d = 3% (continuously compounded). Compute the Black-Scholes price for a $65-strike European call option with 6 months until expiration.

Answers:	a. $2.18
	b. $0.00
	c. $3.52
	d. $3.67
	e. $7.18

1b) Let S = $32, s = 30%, r = 6.5%, and d = 1% (continuously compounded). Compute the Black-Scholes price for a $35-strike European put option with 9 months until expiration.

Answers:	a. $4.21
	b. $5.63
	c. $3.00
	d. $4.02
	e. $2.63

1c) Let S = $64, s = 42%, r = 7.5%, and d = 1% (continuously compounded). Compute the Black-Scholes delta (D) of a $65-strike European put option with 3 months until expiration.

Answers:

a.

0.5419

b.

0.4556

c.

0.4839

d.

0.3240

e.

0.4292

1d) Let S = $38, s = 28%, r = 5%, and d = 1% (continuously compounded). Compute the Black-Scholes gamma (G) of a $45-strike European call option with 3 months until expiration.

Answers:	a. 0.0541
	b. 0.0268
	c. 0.0361
	d. 0.1428
	e. 0.0424