Dear Tutor, Please help me with the first question. Assume that on April 13 the ABC stock price was $20.69. Assume that the option on ABC stock expires in 1 month and the risk-free rate is 2.7% p.a. a) Compute European call price with strike X=19 using Black Scholes closed form solution. To compute the call price you will need the estimate of volatility. Calculate historical volatility based on two months of data.

7 A 1 Day Close 20.69 21.24 4 3 22.08 54 21.42 6 5 21.08 6 21.75 21.87 21.93 21.85 11 10 21.97 12 11 21.18 13 12 20.79 14 13 21.09 15 14 21.86 16 15 22.27 17 16 22.13 18 17 21.75 19 18 21.09 20 19 21.75 21 20 20.85 22 21 20.66 23 22 21.28 24 23 21.12 21.2 25 20.12 26 20.07 19.87 28 20.2 29 20 30 20.01 19.97 32 20.49 20.77 20.69 19.94 37 36 19.82 20.3 39 38 20.38 40 39 20.16 41 40 20.11 42 41 20.46 24 27 33 7 A 1 Day Close 20.69 21.24 4 3 22.08 54 21.42 6 5 21.08 6 21.75 21.87 21.93 21.85 11 10 21.97 12 11 21.18 13 12 20.79 14 13 21.09 15 14 21.86 16 15 22.27 17 16 22.13 18 17 21.75 19 18 21.09 20 19 21.75 21 20 20.85 22 21 20.66 23 22 21.28 24 23 21.12 21.2 25 20.12 26 20.07 19.87 28 20.2 29 20 30 20.01 19.97 32 20.49 20.77 20.69 19.94 37 36 19.82 20.3 39 38 20.38 40 39 20.16 41 40 20.11 42 41 20.46 24 27 33