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  3. 3. consider the black-scholes formula 2; let vc de

3. Consider the Black-Scholes formula 2; let Vc denote the value at time of the...

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3. Consider the Black-Scholes formula 2; let Vc denote the value at time of the call option, and Vp the value of the corresponding put option, both written on an underlying assets that pays a continuous dividend rate of 8, and expiring at time T. (a) [0.5 marks) Find a formula for the put option delta: (b) [1 mark] Use the put-call parity relationship that must hold between Vc and Vp to show that the formula for the call option delta is = e Nd.), where t represents the time to expiry. (c) [1 mark] Suppose that the delta for a European call option expiring in one year months' time is 0.54 and the value of the continuous dividend rate 8 = 0.01. What is the delta for the corresponding put option? (d) [3 marks] Describe and show what happens to the values of A = 2 and = 202 as tft (.e. 7 10) when S > K and when S

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