answer C first

(b) Show that the Black-Scholes formula implies the put-call parity holds. (3 marks) (c) Let S(T) denote the price of a non-dividend paying stock at time 1. The current price of the stock is 60 and Var[In S(r)]=0.161. The continuously compounding risk-free interest rate is 6% per annum. An investor bought a derivative with a payoff of S(1.5)-60. (i) Explain an investment strategy that will give the payoff stated above. (3 marks) (ii) Calculate the price of this derivative. (6 marks) (b) Show that the Black-Scholes formula implies the put-call parity holds. (3 marks) (c) Let S(T) denote the price of a non-dividend paying stock at time 1. The current price of the stock is 60 and Var[In S(r)]=0.161. The continuously compounding risk-free interest rate is 6% per annum. An investor bought a derivative with a payoff of S(1.5)-60. (i) Explain an investment strategy that will give the payoff stated above. (3 marks) (ii) Calculate the price of this derivative. (6 marks)