PLEASE SHOW CALCULATIONS IN DETAIL

The stock price five months from the expiration of an option is $42, the exercise price of the option is $40, the continuously compounded risk-free interest rate is 11% per annum, and the volatility () is 21% per annum.

- Calculate the price of the option if it is a European call.

- Calculate the price of the option if it is a European put.

A. d₁ = .21 d₂ = .36 N(d₁) = .8090 N(d₂) = .8765 c = $5.93 p = $0.75

B. d₁ = .77 d₂ = .63 N(d₁) = .7794 N(d₂) = .7357 c = $4.63 p = $0.83

C. d₁ = .67 d₂ = .43 N(d₁) = .7700 N(d₂) = .7537 c = $5.63 p = $0.93