1. a. Find the value of a put option with an exercise price of $100 and 3 months to expiration. The stock current price is $100. The 3-month expected price of the stock would be either $80 or $120. The risk-free rate is 3%.
b. What is the value of a call option on the same security with a strike price of $100 and 3 months to expiration?
Check whether the following functions are continuous or not at x = 0. Also, find
the nature of discontinuity at that point, if it exists.
(i) f(x)= {[(2-x)^(1/2) - (2+x)^(1/2)] / [x] , x≠0 ; 1/√2 , x=0
(ii) f(x)= { x^(2)+1/3, x≤0 ; -[x^(3)+1/3], x>0