The following information summarises stock price behaviour that is consistent with the Black-Scholes model:

Current stock price (S₀) = $115;

co Risk-free interest rate continuously); (= 2.5% per year (compound Volatility of return (0) = 50% per year. (4 points) A three-month European call option on the stock has a strike price of S110. Calculate the call option price that is consistent with the Black-Schotes model. b) (3 points) Determine the value of a three-month European put option on me stock with a strike price (K) of $110. c). (3 points) You would like to instantaneously hedge your $15,000 investment in this stock. How many three-month at-the-money European call options you would write? How many three-month at-the-money European put options would you purchase? (10 points) There are three European call options with strike price 70, 75, and 80. The