Henskee Incs is a public company with a current stock price of $200 the stock pays no dividend. There exists a call option, European, that has 4 months (120 days) to expiration. Suppose the annual volatility of the stocks returns are 35%, and the annual risk-free rate is .6% (in other words, .2% for 120 days or .05% per month). The strike price of the options is $195 per share.

a) Using Black-Scholes, estimate the premium on a call option with the above parameters.

b) Using the CRR Method with suggested increments of a month, estimate the premium on a call option with the above parameters