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Use the Black-Scholes model to estimate the price of a call option. Here are the input. S = 40, E = 35, t = 6

Use the Black-Scholes model to estimate the price of a call option.

Here are the input. S = 40, E = 35, t = 6 month, Rf = 8% = 0.08, = std = 0.31557.

b) What is the price of a put option?

c) ABB call and put options with an exercise price of 17 expire in 4 months and sell for 2.07 and 2.03, respectively. If the equity is currently priced at 17.03, what is the annual continuously compounded rate of interest?

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