The current price of (a non-dividend-paying stock) is $33. The risk-free interest rate is 5% per annum (continuously compounded), the stock volatility is 25% per annum. The time to maturity of an option on the stock is six months. Compute the price of a European call option with strike price of $36 and time to maturity of six months. Using put-call parity relation, compute the put price with the same maturity and strike price. The di and d2 of the Black-Scholes-Merton option pricing model are given below d = In(S, / K)+(r+o/2)1 OVT In(S, /K)+(r-62/2)1 d = OVT = d, -ovi