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

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, σ = 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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