e) Use the Black-Scholes model to determine the value of an European Call option with a strike of USD 37.

f) Use the Black-Scholes model to determine the implicit volatility on an European Call option with a strike of USD 37. Explain. g) Apply the Call-Put parity to check the value of the European Put option with a strike of USD 37. Should you buy or sell the Put option. Explain.

h) Assume Pfizer will pay a dividend of USD 0.36053 per share on January 29 th, 2021, and May 14th , 2021. Construct a binomial tree for June 18th, 2021, assuming again that the stock price moves 6 times (i.e. every 35 days) and determine the American call option value for a strike price of USD 37?

Pfizer, Inc. (Pfizer or PFE) shares closed on November 20", 2020, at USD 36.70 (Nyse). On the same date the Yahoo Finance website had the following information regarding Pfizer options with the maturity date on June 18th, 2021: Call | Last Open Implied Put | Last Open Implied Bid Ask Bid Ask Strike Price Interest Volatility Strike Price Interest Volatility 0 18.00 18.95 0 18.0 0.0 25.00% 20.00 17.07 20.00 0.07 0 25.00% 23.00 17.10 0 23.0 0.14 0 12.50% 25.00 12.25 11.70 12.00 0 36.04% 25.00 0.26 0.28 0.34 38 37.21% 28.00 9.15 3.90 9.15 2,289 30.66% 28.00 1.59 0.61 0.66 20 34.67% 29.00 8.15 8.05 8.35 1 31.25% 29.00 0.80 0.79 0.8 20 34.62% 30.00 7.40 7.30 7.45 29.59% 30.00 1.03 1.01 1.05 81 33.91% 31.00 5.85 6.45 6.70 29.76% 31.00 1.25 1.19 1.36 327 34.30% 32.00 5.90 5.80 5.95 53 29.32% 32.00 1.57 1.58 1.66 46 34.03% 33.00 5.25 5.05 5.30 22 29.52% 33.00 1.90 1.82 2.07 10 34.50% 34.00 4.78 4.50 4.65 35 29.19% 34.00 2.30 2.24 2.39 63 33.57% 35.00 4.05 4.00 4.10 297 29.35% 35.00 2.76 2.80 2.86 200 33.73% 36.00 3.56 3.45 3.60 1,145 29.49% 36.00 3.25 3.30 3.40 58 34.11% 37.00 3.05 3.00 3.10 710 29.18% 37.00 3.69 3.85 3.95 206 34.17% 38.00 2.67 2.54 2.69 460 29.25% 38.00 4.10 4.45 4.60 34.77% 39.00 2.43 2.29 2.35 1,295 29.54% 39.00 4.25 5.10 5.25 0 35.01% 40.00 1.99 1.97 2.04 3,519 29.72% 40.00 5.80 5.80 5.90 17 34.92% 41.00 1.74 1.70 1.76 568 29.83% 41.00 6.45 6.50 5.75 0 36.40% 42.00 1.46 1.46 1.51 1,580 29.91% 42.00 6.25 7.20 7.50 36.68% 43.00 1.30 1.24 1.31 196 30.15% 43.0 7.08 8.05 3.30 37.21% 44.00 1.13 1.02 1.17 2192 30.79% 44.00 9.40 8.65 9.10 N 37.50% 45.00 0.95 0.91 0.99 1,434 30.69% 45.00 9.25 9.45 9.95 7 38.09% 50.00 0.49 0.48 0.50 1,085 32.03% 50.00 14.35 14.25 14.55 0 42.75% 55.00 0.24 0.00 12.50% 55.00 18.60 0 0.00%