8) (a) A bank has purchased a put option on 100,000 shares of a stock with current price S0 = 28, strike K = 30, volatility = 0.8 per annum, and 2 years to maturity. Assume the risk-free rate is 3% p.a. with continuous compounding. What is no-default value of the option? If the banks counterparty has a 2% chance of default at the end of each year and a recovery rate of R = 0.5, what is the CVA and credit-risk-adjusted value of the option?