A stock has a price of $32 and an annual return volatility of 60 percent. The risk-free rate is 3.02 percent. Perform calculations in Excel.

a.	Calculate the call and put option prices with a strike price of $28.5 and a 90-day expiration. (Round your answers to 2 decimal places. Omit the "$" sign in your response.)

Call premium	$
Put premium	$

b.	Calculate the deltas of the call and put. (Negative amounts should be indicated by a minus sign. Round your answers to 4 decimal places.)

Call delta
Put delta

Here is an explanation of a similar problem:

A stock has a price of $30 and an annual return volatility of 58 percent. The risk-free rate is 3.04 percent. Perform calculations in Excel. a. Calculate the call and put option prices with a strike price of $29.5 and a 90-day expiration. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) $ Call premium Put premium $ 3.77 $ 3.05 b. Calculate the deltas of the call and put. (Negative amounts should be indicated by a minus sign. Round your answers to 4 decimal places.) Call delta Put delta 0.5903 -0.4097 Explanation d1 d2 N(D1) N(D2) N(-01) N(-02) 0.228387 -0.05962 0.590327 0.476229 0.409673 0.523771 Call $ 3.77 premium Put premium $ 3.05 Call delta Put delta 0.5903 (0.4097)