Question #4: Black-Scholes Call-Option Valuation [30 Points] Current Stock Price (S0) = $88.70 Strike Price (X) = $90 interest rate (r) = 0.05 annual dividend yield () = 0 Time to expiration (T) = 9 months (0.75 years) Standard deviation () = 0.30 [A standard normal table is provided in Cat Courses under Other Files Folder.] (a) Using the Black-Scholes formula, find the value of a call option given the above information. (Hint: When calculating d1 and d2 be sure to round to the 2nd decimal point) [10 Points] (b) What is the price of the put-option, with the same strike price and expiration date as the call, using the same information? [Hint: Use the Put-Call Parity relationship] [5 Points] (c) Recalculate the value of the call option and the put option if the strike price was $95 (instead of $90) Assume all other variables remain constant [15 Points]