12. stock has a price of $32 and an annual return volatility of 45 percent. The risk-free rate is 3.0 percent. Perform calculations in Excel.

a. Calculate the European call and European put option prices with a strike price of $31.50 and a 90-day expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answers to 2 decimal places.)

Call premium
Put premium

b. Calculate the deltas of the European call and European put. (Use 365 days in a year. A negative value should be indicated by a minus sign. Round your answers to 4 decimal places.)

Call delta
Put delta