Problem 21-12 BlackScholes model

Use the BlackScholes formula to value the following options:

a. A call option written on a stock selling for $68 per share with a $68 exercise price. The stock's standard deviation is 6% per month. The option matures in three months. The risk-free interest rate is 1.75% per month. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

b. A put option written on the same stock at the same time, with the same exercise price and expiration date. (Do not round intermediate calculations. Round your answer to 2 decimal places.)