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Using the Black-Scholes-Merton Model by hand (no excel) answer the following: 1. Stock ABC is trading for $19. The stock has a standard deviation on

Using the Black-Scholes-Merton Model by hand (no excel) answer the following:

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1. Stock ABC is trading for $19. The stock has a standard deviation on an annual basis of 40%. The risk free rate on a continuously compounded basis is 5%. a. What is the price of a call that expires in 126 days and has a strike price of 20? b. What is the price of a put that expires in 126 days and has a strike price of 20? c. What is delta of the call option

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