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  3. a = a = 2. (30 points) consider a black-scholes mo

a = a = 2. (30 Points) Consider a Black-Scholes model, where the continuously compounded...

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a = a = 2. (30 Points) Consider a Black-Scholes model, where the continuously compounded interest rate is given by r = = 0.07, and o = 0.1 for a stock with initial value S(0) = 50$ a. (15 points) Price a European call option CE and a European put option PE with strike price X = 60$ and maturity date T = 2. b. (15 points) Assume that you have 200 European call options and 100 European put options with strike price X 60$ written on S. Find the delta neutral portfolio with zero value that can be constructed using the stock S and a risk free asset A (You can assume that A(0) = 1$). = a = a = 2. (30 Points) Consider a Black-Scholes model, where the continuously compounded interest rate is given by r = = 0.07, and o = 0.1 for a stock with initial value S(0) = 50$ a. (15 points) Price a European call option CE and a European put option PE with strike price X = 60$ and maturity date T = 2. b. (15 points) Assume that you have 200 European call options and 100 European put options with strike price X 60$ written on S. Find the delta neutral portfolio with zero value that can be constructed using the stock S and a risk free asset A (You can assume that A(0) = 1$). =

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