The current price of an ABC company's share is $200.$ Assume that the returns of ABC have a historical annualized standard deviation

of $50$ percent and the continuously compounded annualized interest rate is $6$ percent.

Assume that the ABC does not pay any dividends.

Required:

a$.$ What is the Blue$-$Scholes value of a European call option on ABC with a one$-$year expiration period and an exercise price of $200($at the money option$)?$

b$.$ What is the Blue$-$Scholes value of a European put option on ABC with a one$-$year expiration period and an exercise price of $200?$

Note: For all requirements, do not round intermediate calculations. Round your answers to $3$ decimal place.