S=0.

75 K=0.75 r=0.09, rf=0.07 , volatility= 0.04 T=0.75

ln 0.75/0.75 + (0.09 0.07 + 0.04! 2)0.75
1 =
0.04 0.75
d1 = 0.45

2 = 1 0.040.75
d2 = 0.42
N(d1)=0.6736 N(d2)=0.6628
N(-d1)=0.3262 N(-d2)=0.3388

(a):Call option price:
0.75 1 !!.!!!.!" 0.75(2) !!.!"!.!"
=0.0159

(b):Put option price:
0.75 2 !!.!"!.!" 0.75(1) !!.!"!.!"
=0.00538
or
Put-call parity:
0.0159 + 0.75 !!.!"!.!" 0.75 !!.!"!.!"
=0.00531

(c):
! !
S=!, K=!, r=7% rf=9% ,volatility=4% T=0.75
4 4
ln 3 3 + (0.07 0.09 + 0.04! 2)0.75
1 =
0.04 0.75
d1 = -0.4157
2 = 1 0.040.75
d2 = -0.4503

N(d1)=0.3388 N(d2)=0.3262
Call Option Price:
4 4
0.3388 !!.!"!.!" 0.3262 !!.!"!.!"
3 3
=0.00960