a) A stock sells for $125. A call option on the stock has an exercise price of $110 and expires in 3 months. If the interest rate is 0.15 and the standard deviation of the stocks return is 0.30. What would be the price of a put option on the same stock with an exercise price of $140 and the same time (3 months) until expiration? Show all workings. (See Appendix for the Cumulative Normal Distribution Table) Nd -72 -70 -3.00 -2.95 -230 -2.85 -2.80 -2.75 -2.70 -2.65 -2.60 -255 -2.50 -2.45 -2.40 - 235 -2.30 -2.25 -220 -2.15 -2.10 2.05 -2.00 d 1.00 1.00 1.70 1.72 1.74 1.70 1.78 1.80 1.82 1.84 1.56 1.88 1.90 1.92 1406 1.96 CUMULATIVE NORMAL DISTRIBUTION TABLE Nd) d Nd Nich d d 0013 -1.50 0571 2230 5239 .00 0961 0016 0004 2297 09 5319 8105 0019 -1.54 0618 2368 10 5398 90 8159 0022 0643 2420 12 5478 B2 8212 0026 -1.50 0668 2483 5557 34 8254 0000 -1.40 .0004 2546 5696 8315 0035 -1.40 0720 2011 18 5714 99 B365 0040 -1.44 0749 2676 6793 1.00 8413 0047 0778 -60 2743 5871 1.02 8461 .0054 -1.40 0808 2810 24 5945 1.04 8500 0062 -1.30 0830 2877 26 6026 1.00 8564 0071 -1.36 0869 - 54 2946 28 6103 1.08 8599 0082 -1.34 0901 -52 3015 30 6179 1.10 8543 0094 -1.82 0904 3085 32 6255 1.12 8888 .0107 -1.30 0900 3156 34 6331 1.14 8729 0122 -1.28 1000 3220 36 1.10 8770 0139 .1088 3300 38 1.18 8810 0158 -1.24 .1075 3372 6554 120 8841 0179 1112 3448 6628 1.22 8889 .2002 .1151 -.38 3520 6700 1.24 es ..028 -1.18 ..1190 2104 6772 1.25 8962 -1.18 .1230 -34 3669 8844 1.28 2997 .6050 -1.14 .1271 3745 50 2015 1.30 9082 -1.12 .1314 -30 3821 cas 1.82 9000 -1.10 -1357 3807 54 .7054 1.34 9000 -1.00 .1401 9974 .7123 9131 0801 -1.00 58 .7190 1.30 9162 0614 -1.04 .1402 .4129 80 9192 -1.00 -1539 .4207 82 0222 .6344 -1.00 1587 84 .7549 1.44 0251 0050 ..1635 -.16 4384 920 0675 -.se .16 .7518 9300 .com .1730 .70 .7580 1.50 100 1780 12 .7642 0427 -.00 1841 -08 74 7704 902 0046 4761 1.50 9400 -.04 4340 78 .7823 1.58 9429 Das -54 9452 .6606 5000 .709 9474 2119 5000 147005 1.641 8485 0648 -70 2177 H 5160 9535 9554 9573 9591 9000 9625 9641 9666 9671 960 9609 9713 .9728 .9738 9750 9781 .9772 9798 9621 9842 9861 9678 9803 9006 9918 9020 9038 9045 9063 9000 -1.94 2.00 2.06 2.10 2.15 2.20 2.25 2.30 2.35 2.40 2.45 2.50 2.55 2.60 -1.88 -1.84 -1.82 -1.80 -1.78 -17 -1.74 -1.72 -1.70 2.70 2.75 2.80 9070 9074 9076 9981 9084 9007 2.80 2.00 3.00 3.00 -02 30 00 -1.60 -1.64 -1.62 -1.60