a. Compute for the European put option P (S, t) the value of = P/S . (You

S may use that we have shown in class that SN(d1) = Ee^(r(Tt))N(d2).)

b. Show that for all S and t we have > 1 and that limS0 = 1.

c. Show that for all S and t we have < 0 and that limS = 0.