2. Black-Scholes option pricing Suppose the stock price is 50 and we need to price a call option with a strike of 55 maturing in 2 months. The stock is not expected to pay dividends. The continuously compounded risk-free rate is 3%/year, the mean return on the stock is 7%/year, and the standard deviation of the stock return is 30%/year.

   1. What is the N(d1) and N(d2)?

   2. What is the price of the call option?

   3. What is the price of a put option with the same features?