The share of Company Monash is currently trading at $412, the risk-free interest rate is 6% per annum with continuous compounding, and the historical annual volatility of Company Monash share is 20%. A dividend of $20 is expected 3 months from today. Using the Black-Scholes-Merton (BSM) option pricing model, calculate the fair values of a six-month European call and put option on Company Monash share with a $410 strike price. Then, check for the put-call parity.

Required: Keep 4 decimal points for this question. To calculate N(d1) or N(d2), use the same method as in lecture notes.

Show your work step by step. For calculation question, you do not have to copy the formula, however you must show how you substitute the numbers into formula. For example, to calculate future value, an appropriate answer is: Face value = 100*e^(0.1*1) = 110.52.