10.30. Consider a put option on a non-dividend-paying stock when the stock price is $40, the strike price is $42, the risk-free interest rate is 2%, the volatility is 25% per annum, and the time to maturity is three months. Use DerivaGem to determine the following:

(a) The price of the option if it is European (use Black–Scholes: European)

(b) The price of the option if it is American (use Binomial: American with 100 tree steps)

(c) Point B in Figure 10.7.