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The current stock price of Taurus Trading is R120 and the stock does not pay dividends. The instantaneous risk-free rate of return is 10%. The

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The current stock price of Taurus Trading is R120 and the stock does not pay dividends. The instantaneous risk-free rate of return is 10%. The instantaneous standard deviation of Taurus Trading is 25%. You wish to purchase a call option on this stock with an exercise price of R100 and an expiration date 3 months from now. a) Calculate the call option price using the Black-Scholes OPM. (6 marks) b) Using Put-Call Parity, what would the corresponding put price be? (2 marks)

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