6. Let us consider a European option on a stock that does not yield any dividend. Assume that that the price of this option is described by the Black-Scholes model with a drift of 10% per year, volatility of 40% per year. The current price of the stock is So = 16. The risk-free interest rate on the market is 4% per year. = 1) a) Calculate the price of a call option with strike price of 18 and a maturity T of one year. b) Using the put-call parity calculate the price of the corresponding put op- tion. 2) Imagine that in 6 months from now, the stock costs 16.4. Is it worth to wait 6 months before buying the call option above and investing in a saving account what we would have paid for buying the call at the initial time? Would this still apply if the stock costed 19.2 in 6 months from now? [10] 6. Let us consider a European option on a stock that does not yield any dividend. Assume that that the price of this option is described by the Black-Scholes model with a drift of 10% per year, volatility of 40% per year. The current price of the stock is So = 16. The risk-free interest rate on the market is 4% per year. = 1) a) Calculate the price of a call option with strike price of 18 and a maturity T of one year. b) Using the put-call parity calculate the price of the corresponding put op- tion. 2) Imagine that in 6 months from now, the stock costs 16.4. Is it worth to wait 6 months before buying the call option above and investing in a saving account what we would have paid for buying the call at the initial time? Would this still apply if the stock costed 19.2 in 6 months from now? [10]