Imagine you are a financial consultant for a bank. The bank wants to sell three specific options and has asked you to price them. The bank has provided the following information:

• the current value of the underlying asset is £100
• maturity time is 18 months
• no dividends

The three options are:

1. Call with strike £100
2. Put with strike £100
3. Butterly-like option with a payoff at maturity time of φ(S) = exp (-((S − 100)^2)/ 75), where S is the final value of the stock.

Price the option and provide a report to explain how the price has been computed

Sorry it's a typo. It should say butterfly