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A non-dividend-paying stock is trading at 72 and has volatility of 30% per annum. Consider an option on the stock with strike price $75 and

A non-dividend-paying stock is trading at 72 and has volatility of 30% per annum. Consider an option on the stock with strike price $75 and maturity six months. The risk-free rate is 2% per annum (continuously compounded).

(a) What is the price of the option if it is a European call?

(b) What is the price of the option if it is a European put?

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