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% per annum, the volatility is 25% per annum, and the time to maturity is four months. Using the Black-Scholes-Merton Model determine the following. (5 marks)

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?

c.What is the price of the option if it is a European put?

d.Verify that put-call parity holds.