use volatility, sigma, to be 0.3

2. Suppose you are given: (a) S(0) = 100 (b) Stock price S(t) follows the BS model (c) The stock pays continuous dividend at a rate of 0.04 (d) The continuously compounded risk free rate is 0.06 (i.) Consider an European call option with strike price $110 and time to mature is 6-month. Calculate the option price (ii.) What is the probability that option will expire in the money? iii. Given that stock price is less than strike price, what is the expect value of stock price? iv. Instead of European call option, if we price a put option with same characteristics, what wo iv.) Instead of European call option, if we price a put option with same characteristics, what would be the value of the put option? 2. Suppose you are given: (a) S(0) = 100 (b) Stock price S(t) follows the BS model (c) The stock pays continuous dividend at a rate of 0.04 (d) The continuously compounded risk free rate is 0.06 (i.) Consider an European call option with strike price $110 and time to mature is 6-month. Calculate the option price (ii.) What is the probability that option will expire in the money? iii. Given that stock price is less than strike price, what is the expect value of stock price? iv. Instead of European call option, if we price a put option with same characteristics, what wo iv.) Instead of European call option, if we price a put option with same characteristics, what would be the value of the put option