The price of the underlying asset of the option is $156. The volatility of the underlying asset is 30%, and the risk-free interest rate is 6%.

Using the Black Scholes model, calculate the value of a six-month European call option with a strike price of $160.

>>> Use 4 decimals when calculating d1 and d2 and ***TRUNCATE*** the numbers when calculating.

E.g. cut each intermediary step off at 4 decimals without rounding to make 20.123456 into 20.1234

Put your answers here:

D1:

N(D1)

C VALUE

P VALUE

What is the of the Call?

What is the of the PUT?