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.

d. What is the price of the option if it is a European call and the stock is due to go dividend of 50 cents in 2 months?

e. What is the price of the option if it is a European put and the stock is due to go dividend of 50 cents in 2 months?