Consider a call option on a stock, the stock price is $29, the strike price is $30, the continuously risk-free interest rate is 5% per annum, the volatility is 20% per annum and the time to maturity is 0.25.

(i) What is the price of the option? (6 points)

(ii) What is the price of the option if it is a put? (6 points)

(iii) What is the price of the call option if a dividend of $2 is expected in 60 days? (8 points)