Problem 2 (Put-Call parity of European option, time value of options). (6 pts) Consider a stock S paying no dividends, with initial price S0=$90. European options on the stock with maturity of one year are traded in the market. The continuously compounded interest rate is r=5%. a) (2 pts) Find the values of K such that the price of the call option on S with strike price K is greater than the price of the put option on S with strike price K. b) (2 pts) Suppose the put option on S with strike price $85 trades at $16. Find the price of the corresponding call option on S (with same maturity and strike price). c) (2 pts) Find the time value of the put option and call option in part b) at t=0