The current price of a stock is $77, the sigma is 0.20 and the continuously-compounded risk-free rate is 4%. The stock does not pay any dividends. We want to price a call and a put option with strike of 75 and three months to maturity on this stock.

Use a Black-Scholes method to determine the price of the call and put option on the stock described in Case 2, if the stock pays dividends of 2%.

For the call option, the value of d1 is ____.

For the call option, the value of N(d1) is ____.

For the put option, the value of d2 is ____.

For the put option, The value of N(-d2) is ____.

The value of C is ____. T

he value of P is ____.

The value of (delta)call is ____.

The value of (delta) put is ____.