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Assume the lognormal model and Black-Scholes framework The stock of XYZ currently sells for 41 per share. The annual stock price volatility is 0.3, and

Assume the lognormal model and Black-Scholes framework

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The stock of XYZ currently sells for 41 per share. The annual stock price volatility is 0.3, and the annual continuously compounded risk-free interest rate is 0.08. The stock pays no dividends. 1. (a) Find the Black-Scholes price of a call option on the stock with strike price 40 and time to expiration of 3 months b) Find the Black-Scholes price of a put option on the stock with strike price 40 and time to expiration of 3 months

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