Rebecca is interested in purchasing a European call on a hot new stock, Up$,$ Inc. The call has a strike price of $$95\mathrm{.}00$

and expires in $86$ days. The current price of Up stock is $$117\mathrm{.}06,$ and the stock has a standard deviation of $45\%$ per year.

The risk$-$free interest rate is $6\mathrm{.}27\%$ per year. Up stock pays no dividends. Use a $365-$day year.

a$.$ Using the Black$-$Scholes formula, compute the price of the call.

b$.$ Use put$-$call parity to compute the price of the put with the same strike and expiration date.

$($Note: Make sure to round all intermediate calculations to at least five decimal places.$)$

a$.$ Using the Black$-$Scholes formula, compute the price of the call.

The price of the call is $$,.($Round to two decimal places.$)$