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Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk free interest rate is 5%,

Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk free interest rate is 5%, the volatility is 25% per anum, and the time to maturity is 4 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 an American call?

(d) Show that put-call parity holds.

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