Problem 2.2. A non-dividend-paying stock is trading at $50 and has volatility of 40% per annum. Consider an option on the stock with strike price $48 and maturity six months. The risk-free rate is 1% per annum (continuously compounded). (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 a European put? (c) What is the price of the option if it is an American call