Explain how to price a (plain vanilla) European put option either using the Black-Scholes model (BS), the Binomial Option Pricing Model (BOPM). Choose one.

b) What are the main differences (pros and cons) of the three methods listed above?

c) Assuming the option is on a non-dividend paying stock and current stock price S0 = $100, K = 100, = 20% p.a., r = 5% p.a. continuously compounded, T = 1 year, calculate its Delta and Vega. Which model have you used for your calculations? What are its main assumptions?

d) Outline any changes required in two methods listed above to price an American put option instead.