PROBLEM 4

Using the BSM model, estimate value of a 3-month call option and 3-month put option on a share of ETF if:

an exercise price, X: $250

sport price, S0: 260

the annual risk-free rate is 5 %

historical standard deviation of shares returns: 12%.

Implied standard deviation: 13.5%

Please show how you calculated the following parameters: d1, d2, N(d1). N(d2), N(-d1), N(-d2)