2. Using the Blacks-Scholes Formula to find the value of a call option on the following stock:

Time-to-expiration: 6 months

Standard Deviation: 50%

Exercise Price: $50

Stock Price: $50

Interest Rate: 3%

You can find the value of N(d1) and N(d2) in the table on the last page of this assignment.

(2). What is the price of put with the same expiration date and exercise price? (Using the put-call parity)

(3). What are the deltas of the above call and put respectively?

(4). Assuming that you intend to hold the stock with a protective put. However, there is no such put available in the market. Show how can you create a synthetic protective put position without put.