Hello sir, hope you have a good day. I hope you can help me with this question that includes step by step answers and detailed explanation. Question (a) has a total of 2 marks, question (b) has a total of 5 marks and question (c) has a total of 3 marks. Your help is appreciated, thank you!

(a) According to the Black-Scholes-Merton formula, what are the effects on call and put values if So becomes very small? (b) Suppose the current stock price is $40 and a call option with a strike price of $45 expiring in 4 months is available. There is no dividend expected. Risk-free rate is 3% per annum with continuous compounding and stock volatility is 40% per annum. Calculate the call price using the Black-Scholes-Merton formula. (c) What should be the European put price on the same stock and with the same strike and maturity as the call option in (b)? (2 + 5+ 3 = 10 marks)