ANSWER ONLY QUESTION 4

3. Consider an option on a non-dividend-paying stock when the stock price is $32, the exercise price is $30, the risk-free interest rate is 10% per annum, the volatility is 25% per annum, and the time to maturity is four months. 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? c. Verify that put-call parity holds. 4. Assume that the stock in Question 3 is due to go ex-dividend in 2 months. The expected dividend is 50 cents. 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