Problem 15.30. Consider an option on a non-dividend-paying stock when the stock price is $30, t price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per an the time to maturity is four months. a. What is the price of the option if it is a European call? b. What is the price of the option if it is an American call? c. What is the price of the option if it is a European put? d. Verify that put-call parity holds. In this case S. 030, K 029, r 0005, 070025 and T 04 02 In(30 [29) 0(05 0 00253 02) 04 02 do 004225 0 25 0 3 333 In(30 029) 0(05 00 1353 WP) 04 02 002782 025 0 3333 N(04225) 0086370 N(00782) 006096