(b) The investor is considering the options of Microsoft corporation of trading purpose. The underlying securities pays non dividend. Call Put SP-95 SP-100 SP-80 SP-85 30 days 3.75 2.00 3.50 6.50 90 days 5.00 3.75 4.75 8.00 180 days 8.75 7.00 7.00 11.00 In context of current settings, the is price of stock is $81, with the central rate (considered as risk free) is 3.768%. The volatility in the stock prices based on normality of distribution is 26%. a. Value the 90 days-month call in setting of American and European, with a strike price of 80. b. Replicate the call options option and put option using the inputs from the black Scholes model? c. calculates the implied volatilities of call option and put option? d. Develop the payoff diagram of the above trading setting under box spread strategy. Assuming that you buy a call with an exercise price of 85 and long call with an exercise price of 90. e. Based on the setting of put - call parity, how the value varies for the 90 days call option with a strike price of 84. (b) The investor is considering the options of Microsoft corporation of trading purpose. The underlying securities pays non dividend. Call Put SP-95 SP-100 SP-80 SP-85 30 days 3.75 2.00 3.50 6.50 90 days 5.00 3.75 4.75 8.00 180 days 8.75 7.00 7.00 11.00 In context of current settings, the is price of stock is $81, with the central rate (considered as risk free) is 3.768%. The volatility in the stock prices based on normality of distribution is 26%. a. Value the 90 days-month call in setting of American and European, with a strike price of 80. b. Replicate the call options option and put option using the inputs from the black Scholes model? c. calculates the implied volatilities of call option and put option? d. Develop the payoff diagram of the above trading setting under box spread strategy. Assuming that you buy a call with an exercise price of 85 and long call with an exercise price of 90. e. Based on the setting of put - call parity, how the value varies for the 90 days call option with a strike price of 84