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6. Assume the Black-Scholes setting for an arbitrage-free financial market. (a) Calculate the price of a three-month European put option on a non-dividend paying stock

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6. Assume the Black-Scholes setting for an arbitrage-free financial market. (a) Calculate the price of a three-month European put option on a non-dividend paying stock with a strike price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the volatility is 30%. (b) What would be the price of the option if a dividend of $1.50 is expected in two months

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