Question 14: Black-Scholes and put-call parity (6 points).

Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months.

What is the price of the option if it is a European call? (2 points)

What is the price of the option if it is an American call? (2 points)

What is the price of the option if it is a European put? (2 points)

Verify that putcall parity holds. (2 points)