A stock currently trades for $110 per share. Call options on the stock are available with a strike price of $115. The options expire in 20 days. The annual risk free rate is 4% and the expected standard deviation is 0.40.

Find the value of a call option using the Black-Scholes option pricing model (Assume 365 days per year)

2.51

5.77

3.16

4.42

Use the Black-Scholes option pricing model to find the value of a put option written on the same stock that matures in 20 days and has a strike price of 115. (Assume 365 days per year).

.53

7.25

.86

6.85

7.11