a) (3 p.) Calculate the variance of the daily return on a share for option pricing. The result is 0.000159 (per day). Calculate the volatility of stock returns per annum. Use the 252 days per year default. b) (6 p.) You set a European option with a maturity of 9 months. The market price of the share is 5 and the volatility is 20%. The risk-free interest rate is 1% per annum. The share is not expected to pay a dividend during the term of the option. Based on the above information, price the put and call option at an exercise price of 5. c) (3 p.) Draw graphs b) of the basic value of the options in the task and the profit / loss of the option issuer, both figures as a function of the market price of the share. (two patterns, each with put and call options). d) (3 p.) You are now in a situation where you are wondering how to benefit from your view. Namely, you expect stock prices to rise somewhat over the next three months, but on the other hand, you want to limit your downside risk to a certain level in case you are wrong. You do know that you could benefit from a price increase by buying a three-month call option without having to buy a stock at all, but you feel that the option is a bit expensive as its premium is also priced for the possibility of big price increases. You will start to think of a combination strategy of two European options that would give you the same result, albeit more cheaply than buying a purchase option alone. The downside of the combination of upside would be limited to a certain level, but on the other hand, as said, you dont expect rates to go up very much, so the constraint isnt a problem for you. How would you implement a set of two options? Plot the base value of both options and the profit / loss when the options mature. Also add the profit / loss of the option combination to the chart.