Black-Scholes-Merton pricing formulas Suppose that So is the stock price at time zero, K is the strike price, r is the continuously compounded risk- free rate, o is the stock price volatility, and T is the time to maturity of the option. The European call price c and the European put price p are c = SoN(d) Ke-rT N(d2) and p= Ke-rT N(-d2) SoN(-d), respectively, where d =- , In(So/K) + (r + 02/2)T _In(So/K) + (1 - 02/2) T d2 = - -= d-ot, OVT OT and the function N(x) is the cumulative probability distribution function for a standardized normal distribu- tion. Q1. (1) The volatility of a stock price is 30% per annum. What is the standard deviation of the percentage price change in one trading day