6 Assume that after one time period, the value of a stock (whose present value is So) would be either Sa or S1b- Suppose that, for any y, at a cost of Cy, one can purchase at a time-0 the option to buy y shares of the stock at time-1 at a price of K per share. For what values of C, no-arbitrage will be possible? (Provide necessary details). [5] G So=90, S1a = 130, S1b = 65, K = 100. G2 So=80, S1a = 140, S16 = 60, K = 110. G3 So=90, Sla = 130, S1b = 75, K = 105. : G4: So=90, Sia = 130, S1b = 80, K = 100. G5 So=100, Sa = 150, S1b = 70, K = 120. 7 Using the arbitrage theorem, find the value of C for the data given for your group in the above question. [5] 8 Derive the first order partial derivative of the Black-Scholes option cost C with respect to r. [4]