1. There is a European call option on a non-dividend-paying stock. The underlying price is $52, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is three months.

a- In this case,, , , and .

b-What is d1 in the Black and Scholes model? What is d2 in the Black and Scholes model?

c-What is N(d1) in the Black and Scholes model? What is N(d2) in the Black and Scholes model?

d- What is the present value of K?

e- What are prices of call and put?

f-What is the probability that the call will be ITM upon expiration?

g-What is the probability that the put will be ITM upon expiration?

S0= K= r= = T=