Albert is analyzing PEJ stock options. The current PEJ stock price is $50 per share. The volatility of PEJ stock is 25% per annum. The stock pays no dividends. The risk-free interest rate is 4% per annum. (a) Apply the Black-Scholes-Merton model to compute the price of an at-the-money PEJ European call option which will expire in 2 months. (b) Determine the price of a PEJ European put option with the same exercise price and maturity as the call option above.