Regency Mines has a current share price of 1.79 and a call option written on this share with an expiry date of 3 months has an exercise price of 150p. The risk-free rate of interest is 1.7 per cent per annum and the volatility of the returns on the share is 3.8 per cent.

Required:

(c) Use Black and Scholes option pricing to estimate the value of the call and put and explain the results.

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