10. A stock is selling today for $110. The stock has an annual volatility of 64 percent and the

annual risk-free rate is 7 percent.

a. Calculate the fair price for a 1-year European call option with an exercise price of $95.

b. Calculate how much the current stock price would need to change for the purchaser of

the call option to break even in one year.

c. Calculate the fair price for a 1 year European put option with an exercise price of $95.