A stock is currently trading at $40. The risk free interest rate is 5%. In nine months, analysts believe that share price will either be $50 or $25. A) Using both the Delta method and the Risk Neutral method, find the value of a 9-month Call option with strike price of $39. (15 points) B) What would the value of a Put with the same strike price and maturity be? (You can use any method to find the put value.) (3 points) C) What is the intrinsic value of the call option that you valued in part (A)? The time value? What about the intrinsic and time values of the put option that you valued in part (B)? (4 points) D) Would you expect the value of a call option on the same stock with a longer time to maturity than nine months to have a higher or a lower value than what you found in part (A)? Why? (3 points)