Black 76 Model for Options on Futures. Use the following data from 2023-10-14 for a group of Jun $406 options on futures contracts Current futures price: $405 Expiration: 2024-06-01 Risk-free rate: 5% (discrete) Call market price: $13.15 Put market price: $10.2 Assume a standard deviation of 20% and use the Black 76 model to determine if the options are correctly priced. Note: The table of cumulative normal distribution is on the Moodle site. If you are using Excel, you need to round dk to 2 digits and N(dk) to 4 digits. a. What is the value of d1 ? Round your answer to two decimal places. b. Determine whether the put-call parity holds No, because the PCP put price $14.12 is larger than the market put price $10.2. No, because the PCP put price $17.34 is larger than the market put price $10.2. No, because the PCP put price $7.14 is smaller than the market put price $10.2. c. What is the theoretical value of the call option? $ Round your answer to two decimal places. d. What is the theoretical value of the put option? $ Round your answer to two decimal places