1) Consider an option on a non-dividend paying stock when the stock price is $42, the exercise price is $45, the risk-free interest rate is 8% per annum, the volatility is 32% per annum, and the time to maturity is four months. Using Black-Scholes Model, a. What is the price of the option if it is a European call? b. What is the price of the option if it is a European put? c. Show that the put-call parity condition holds (or does not hold)?