Question 2: The following are simple questions to test your basic understanding of options and how to price options using a REPLICATING PORTOFOLIO METHOD. For those who did not hear that shouted comment, the only option pricing methodology you should use in this question, Question 2, is the REPLICATING PORTOFOLIO METHOD. In the following, the options you are considering are for shares of Blackenship Inc., and are European in form. You may assume, unless told otherwise, that the option has 30 days to expiration, and the annual risk-free rate is 2.4% (in other words, .2% for 30 days). The current price of Blackenship's stock is $100; the annual volatility of the stock's return is 30%; and the stock pays no dividend. a) For an at-the-money call option with one month to expiration, what is the b) For an at-the-money put option with one month to expiration, what is the c) Using your answers from a) and b) in this question, DEMONSTRATE that put- premium using a replicating portfolio method? premium using a replicating portfolio method? call parity holds. Question 2: The following are simple questions to test your basic understanding of options and how to price options using a REPLICATING PORTOFOLIO METHOD. For those who did not hear that shouted comment, the only option pricing methodology you should use in this question, Question 2, is the REPLICATING PORTOFOLIO METHOD. In the following, the options you are considering are for shares of Blackenship Inc., and are European in form. You may assume, unless told otherwise, that the option has 30 days to expiration, and the annual risk-free rate is 2.4% (in other words, .2% for 30 days). The current price of Blackenship's stock is $100; the annual volatility of the stock's return is 30%; and the stock pays no dividend. a) For an at-the-money call option with one month to expiration, what is the b) For an at-the-money put option with one month to expiration, what is the c) Using your answers from a) and b) in this question, DEMONSTRATE that put- premium using a replicating portfolio method? premium using a replicating portfolio method? call parity holds