DA non-dividend paying stock is currently trading at $60 and its volatility is 30% per annum. Risk free rate is 129% per annum. Consider a European put option with a strike price of $58 that will expire in three months. What is the price of this put option based on Black-Scholes model? (10 points) b) 13) A company decides to calculate fair value of its employee stock options using Black Scholes formula for call options. The expected life of options is 6 years and the volatility is 20% per annum. The stock price and strike price are both $30. The company pays no dividends and the risk-free rate is 4%. The company accountant used Black-Scholes formula to find fair value of the options and she calculated di as 0.74 and find value of N(d) as 0.7704. What is the value for this employee stock option? statement? (7 points) the st aWh b)You e If yes, s 6. DA non-dividend paying stock is currently trading at $60 and its volatility is 30% per annum. Risk free rate is 129% per annum. Consider a European put option with a strike price of $58 that will expire in three months. What is the price of this put option based on Black-Scholes model? (10 points) b) 13) A company decides to calculate fair value of its employee stock options using Black Scholes formula for call options. The expected life of options is 6 years and the volatility is 20% per annum. The stock price and strike price are both $30. The company pays no dividends and the risk-free rate is 4%. The company accountant used Black-Scholes formula to find fair value of the options and she calculated di as 0.74 and find value of N(d) as 0.7704. What is the value for this employee stock option? statement? (7 points) the st aWh b)You e If yes, s 6