15. You want to find the value for an European put option using the Black Scholes valuation model. The data for the stock is as follows: The annual mean return for the stock is 10%, and the annual standard deviation is 30%. The current stock price is $100 and the strike price is $95. The risk-free rate is 6% per year and the option has maturity of two years. The present value of dividends paid during the life of the option is $1.5.

A. Find the theoretical price of the option. The Normal distribution tables are attached. For this problem you can use the first two decimal places of d1 and d2 there is no need to interpolate when using the table. (5 points)

B. What is the no-arbitrage price of an European call option on the same stock with strike price of $95 and maturity of two years? (2 points)