Part (a): A share is trading at 35, with a 3% continuous dividend yield and 20% annualized volatility. A one-year call option on this share has strike price 32. The continuous risk-free rate is 2%. Risk factors are: d1 = 0.498, N(d1) = 0.691, d2 = 0.298, N(d2) = 0.617. Calculate the value of the call option using the Black-Scholes-Merton model

Part (b): James wants to determine the fair value of a put option with strike price $20 due to expire in 2 years. A call with the same strike price and expiration is worth $5. The risk-free rate is 4%. The Spot Price of the underlying asset is $22.Using Put Call Parity, calculate the fair value of the put option? (Assume continuous compounding)