Consider a stock of ABC Company. It has an expected return of 10% per year, and it has an estimated return volatility of 20% per year. The risk-free rate is 6% per year (CCR). ABC stock has a current price of $100 and has declared dividends of $13 to be paid at the end of each year.

a) Find the value of a European put option expiring in 2 years with a strike price of $110 using the BSM model.

b) Find the value of an American call option expiring in 2 years with a strike price of $110 using the (pseudo) BSM model.

c) Suppose the European call price in the market is actually $3.00. What is the return volatility implied by this price and the BSM model?