6. Put-Call Parity. A stock is currently selling for $38 per share. A call option with an exercise price of $40 sells for $3.80 and expires in three months. If the risk-free rate of interest is 2.6 percent per year, compounded continuously, what is the price of a put option with the same exercise price? 10. Black-Scholes. What are the prices of a call option and a put option with the following characteristics? Stock price = $57 Exercise price $60 Risk-free rate= 6% per year, compounded continuously Maturity = 3 months Standard deviation = 54% per year =