Consider a European put option with the underlying security spot price being $100, strike pricing being $90, and time to maturity being one year. We also know that N(d1) = 0.75 and N(d2) = 0.7, and we further assume zero interest rates and zero dividends for this question. (a) (10) Compute the Black-Scholes (i) value and (ii) delta of the European put option.
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