Assignment12: Black and Scholes Model2 1. There is a European call option on a non-dividend-paying stock. The underlying price is $52, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is three months. a) In this case, So = __52_, K = _50_, r= 12%_, 0 =30 % T =3 months and b) What is d1 in the Black and Scholes model? What is d2 in the Black and Scholes model? c) What is N(dl) in the Black and Scholes model? What is N(D2) in the Black and Scholes model? d) What is the present value of K? e) What are prices of call and put? f) What is the probability that the call will be ITM upon expiration? g) What is the probability that the put will be ITM upon expiration? 2. There is a European call option on a non-dividend-paying stock. The underlying price is stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months? a) In this case, So = _,=r=__,O= and T = b) What is di in the Black and Scholes model? What is d2 in the Black and Scholes model? c) What is N(dl) in the Black and Scholes model? What is N(D2) in the Black and Scholes model? d) What is the present value of K? e) What are the prices of call and put? f) What is the probability that the call will be ITM upon expiration? g) What is the probability that the put will be ITM upon expiration