6. (7 points): Please use Black-Scholes formula for this question and keep your answers to the 4 digits.) ABC is a non-dividend-paying stock that has the potential to be taken over. Current stock price is $100/share; the risk-free interest rate is 5% per annum with continuous compounding; the volatility is 10% per month; and the time to maturity is 0.5 years. Your manager wants you to construct a strap using the at-the-money European options. How much is the cost of constructing this strap? More specifically, a. (1 point) What is the value of So, K, r, O, T, di, and dz in the Black-Scholes formula respectively? What is the value of N(d) and N(d) respectively? b. (1 point) What is the price of this European call option? c. (2 points) What is the average payoff of the option if you use a Monte Carlo simulation with 10 times replication? (Keep the stock price path for each month for each of the 10 replications.) d. (1 point) What is the price of this European put option? e. (1 point) What is the total cost of the strap? f. (1 point) Suppose ABC is bought out by another firm at maturity and the stock price at maturity is $150, what is the percentage return to your strap