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Assume the lognormal model and BS framework The stock of XYZ currently sells for 41 per share.The annual stock price volatility is 0.3, and the

Assume the lognormal model and BS framework

The stock of XYZ currently sells for 41 per share.The annual stock price volatility is 0.3, and the annual continuously compounded risk-free interest rate is 0.08.The stock pays no dividends.

(a)Find the Black-Scholes price of a call option on the stock with strike price 40 and time to expiration of 3 months.

(b) Find the Black-Scholes price of a put option on the stock with strike price 40 and time to expiration of 3 months.

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