Need help on number 19 Thanks.

d) Theta -e) Vega 18) Consider the following information regarding a DEF Call option. Strike price: $115; Current stock price: $112; Continuously compounded riskfree rate: 0 %; Time to expiration: 3 months; Standard deviation of DEF stock: 0.3074; N(D1): 0.4621; N(D2): 0.4017; ABC Beta 1.35; Ln 112/115 -0.0264; Ln 115/112 0.0624; Ln 115/115 0; e^ RT=1.0. Assume you calculate -0.0951 as the value of Di. What is the value of D, for the Black-Scholes model? 19) DEF Stock has a current price of $52.50, standard deviation of 25%, beta of 1.25, and expected return of 20 %. A DEF Call option has a strike price of $50, 2 months remaining until expiration, N(di) 0.7293, N(d2)-0.6945 , Bo 34.45, and a current price of $3.85.The continuously compounded riskfree rate is 5 %. What is the expected return to the call? 20) In June an investor forms a spread by selling an ABC 50 Call with September expiration for $2.34/share, and purchasing an ABC 50 call with December expiration for $3.38/share. The investor plans to close out the time spread position in September at the time of the expiration of the September call option. The Black-Scholes value of an ABC 50 call option with six months until expiration is $1.24/share when ABC stock is trading at $45/share, and the Black-Scholes value of an ABC 50 call option with three months until expiration is $0.53/share when ABC is trading at $45/share. Assume option prices are equal to the corresponding Black-Scholes values. What is the profit/loss per share of the spread position, if ABC stock is trading at $45/share in September and the position is closed out? niration for me of the on with six e Black-Sc BC is tradh walues. W geptembe with Septe