2. Suppose XYZ is a non-dividend-paying stock. The current stock price is S = $60, the

volatility is = 40%, and the risk-free interest rate is r = 3%.

(a) Using the Black-Scholes-Merton formula or the Black-Scholes-Merton calculator,

nd the price of a three-year European call option on XYZ with a strike price of

$65.

(b) Using put-call parity, nd the price of a three-year European put option on XYZ

with the same strike price. (Please show the calculation using put-call parity. Do

not simply take the put value from a Black-Scholes-Merton calculator.)