要查表吗

问题如下：

A stock price is USD 50 with a volatility of 22%. The risk free rate is 3%. Use the Black-Scholes-Merton formula to value (a) a European call option and (b) a European put option when the strike price is USD 50, and the time to maturity is nine months.

选项：

解释：

In this case:

d, =$\frac{\ln(5O/5O)\;+\;(0.03\;+\;0.22^2/2)\;x\;0.75}{0.22X\sqrt{0.75}}$= 0.2134

d2 =$\frac{\ln(5O/5O)\;+\;(0.03\;-\;0.22^2/2)\;x\;0.75}{0.22X\sqrt{0.75}}$= 0.0228

and the call option price is

50 N(0.2134) - 50 $e^{-0.03\ast0.75}$N(0.0228) = 4.3

The put option price is

50 $e^{-0.03\ast0.75}$N(-0.0228) - 50N(-0.2134) = 3.2