Consider the European put and call options on a stock that has a current price of $75 and an annualized volatility of 26%. The options both have a strike price of $80. Assume the stock pays no dividends. The continuously compounded risk-free interest rate curve is flat the next three years at 2.0%.

a. What are the values, on 01 September 2020, of a call option and a put option on the above stock expiring on 01 September2021?

b. What are the values, on 01 September2020, of a call option and a put option on the above stock expiring on 01 September 2022?