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A company current stock price at RM16.00, the exercise price at RM17.00. If government bond yield is 10%, and the companys share prices volatile at

A company current stock price at RM16.00, the exercise price at RM17.00. If government bond yield is 10%, and the companys share prices volatile at 35% in annualised form. The company does not pay any dividend. Using the Black-Scholes option pricing model, calculate:

(i) the fair value for a RM17.00 call option with 90 days to maturity. (ii) the fair value for a RM17.00 put option with 90 days to maturity. (9 Marks in total)

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