The price of a non-dividend-paying stock is $20. A European put option on such stock has a strike price of $20. Assume the risk-free interest rate is 6% per annum (with continuous compounding), the volatility is 20% per annum, and the time to maturity is 3 months.

1.Calculate and as in Black-Schole-Merton model.

2.Use Black-Schole-Merton model to find out the price of the option. Round all your answers up to 4 decimal places.

3.Based on your answer in Question 40 and put-call parity, calculate the price of the option if it is a European call. Round all your answers up to 4 decimal places.