How to answer these questions in excel

(a) The current price of a share in Delta Ltd. is 300p. During the first year, the price of Delta Ltd. shares can increase by 50% or decrease by 50%, and the riskless interest rate for the year is 5%. In the second year, the share price can again increase by 50% or decrease by 50%, while the riskless rate of interest rises to 10%. Delta Ltd. will have no ex-dividend events during either year. (i) Price a European style call option on Delta Ltd. shares, with a strike price of 150p and expiration after two years. (ii) Price a European style put option on Delta Ltd. shares, with a strike price of 250p and expiration after two years.

(b) The price of the underlying stock is 25, the exercise price is 20, the risk-free rate is 8.25% per annum, the price of a three-month European call option is 7.50 and the price of a three-month European put option is 3.50. Volatility is 45% for the period. Using the concept of Put-Call Parity, show how you would take advantage of any arbitrage opportunities arising from the above prices. Show all workings. (c) (i) Based on the information given for part (b) of the question, calculate the put and call option premiums based on the Black and Scholes model. (ii) Using data from part (i), show the effect in a data table of: 1. An increase/decrease in volatility on the put prices. 2. An increase/decrease in the risk-free rate on the call prices. 3. An increase/decrease in the time to maturity on the put prices.