The IBM closing price on 05/05/2020 is $122.58. The maturity date of the option on IBM is 18/12/2020 (T=0.65 year). Assume that the standard deviation of IBM is 25% per annum. Assume a riskfree rate of 1% per annum. Find the last transaction prices for the IBM call and put option prices, apply the Black-Scholes (BS) model to find the theoretical value for call options. Use the put-call parity to find the theoretical value for put options.

di Current Last Transaction Last Transaction Stock Price (Call) Price (Put) Price So 122.58 122.58 122.58 d2 BS Value Co BS Value Po Stock Price (X) 80.00 90.00 95.00 Time-to- Volatility Maturity (0) (T) 0.25 0.65 0.25 0.65 0.25 0.65 Interest Rate (r) 0.01 0.01 0.01 di Current Last Transaction Last Transaction Stock Price (Call) Price (Put) Price So 122.58 122.58 122.58 d2 BS Value Co BS Value Po Stock Price (X) 80.00 90.00 95.00 Time-to- Volatility Maturity (0) (T) 0.25 0.65 0.25 0.65 0.25 0.65 Interest Rate (r) 0.01 0.01 0.01