= Problem 1. For this problem, the following set of definitions applies: C = current (European) call option price; P = current (European) call option price; S = current price of a non-dividend paying stock (underlying asset for both options); K = exercise price (common to both options); r = annualized riskless rate of interest; T = time in terms of number of years) to expiration; and o = annualized standard deviation of underlying asset's rate of return. = = For each of the following scenarios (A through D), calculate the missing variable(s): Scenario A B C D ? $2.06 $0.74 $7.21 P ? $2.06 $9.36 $1.61 S $45 ? $20 $45 K $40 $35 ? $40 r 6% 4% 3% 6% 0 50% 25% 30% ? T 0.25 0.50 1 0.25 A. SCENARIO A (20 points B. SCENARIO B (10 points) C. SCENARIO C (10 points) D. SCENARIO D (10 points) = Problem 1. For this problem, the following set of definitions applies: C = current (European) call option price; P = current (European) call option price; S = current price of a non-dividend paying stock (underlying asset for both options); K = exercise price (common to both options); r = annualized riskless rate of interest; T = time in terms of number of years) to expiration; and o = annualized standard deviation of underlying asset's rate of return. = = For each of the following scenarios (A through D), calculate the missing variable(s): Scenario A B C D ? $2.06 $0.74 $7.21 P ? $2.06 $9.36 $1.61 S $45 ? $20 $45 K $40 $35 ? $40 r 6% 4% 3% 6% 0 50% 25% 30% ? T 0.25 0.50 1 0.25 A. SCENARIO A (20 points B. SCENARIO B (10 points) C. SCENARIO C (10 points) D. SCENARIO D (10 points)