The stock price three months before expiration of an option is $50. The stock does pay dividend. The exercise price is $45, the continuously compounded annual risk free rate is 6%, the volatility is 20% per annum, d1 = 1.2536 and d2 = 1.1536
1) Calculate the price of the option if it is a European Call
2) What is the delta of the call option? Based on the delta, how many shares must a trader buy for every 1000 calls solt to maintain a risk-free position?
3) Calculate the price of the option if it is a European put
4) Show whether or not the put-call parity is violated.
Please show all work.