Problem 15 1 Intro The current price of a non-dividend-paying stock is $137 and the annual standard deviation of the stock's return is 50%. The risk-free rate is 3% (continuously compounded). A European call option on the stock has a strike price of $100 and expires in 0.8 years. A B 137 100 1 Inputs 2 Stock price 3 Exercise price 4 Expiration (years) 5 St.Dev. of returns 6 Dividend yield 7 Risk-free rate 0.8 0.5 0 0.03 Part 1 8 Attempt 2/10 for 8 pts. Find the values of dy and d2 in the Black-Scholes formula. What is the value of d2? 2+ decimals Submit Part 2 B | Attempt 1/10 for 10 pts. Find the values of N(D1) and N(dz), using Excel's NORM.S.DIST(d1, true) function. What is the value of N(dz)? 2+ decimals Submit | Attempt 1/10 for 10 pts. Part 3 What should be the price (premium) of the call option? 1+ decimals Submit Problem 15 1 Intro The current price of a non-dividend-paying stock is $137 and the annual standard deviation of the stock's return is 50%. The risk-free rate is 3% (continuously compounded). A European call option on the stock has a strike price of $100 and expires in 0.8 years. A B 137 100 1 Inputs 2 Stock price 3 Exercise price 4 Expiration (years) 5 St.Dev. of returns 6 Dividend yield 7 Risk-free rate 0.8 0.5 0 0.03 Part 1 8 Attempt 2/10 for 8 pts. Find the values of dy and d2 in the Black-Scholes formula. What is the value of d2? 2+ decimals Submit Part 2 B | Attempt 1/10 for 10 pts. Find the values of N(D1) and N(dz), using Excel's NORM.S.DIST(d1, true) function. What is the value of N(dz)? 2+ decimals Submit | Attempt 1/10 for 10 pts. Part 3 What should be the price (premium) of the call option? 1+ decimals Submit