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Use the Black-Scholes-Merton model to calculate the prices of European call and put options on an asset priced at 68.5. The exercise price is 65,

Use the Black-Scholes-Merton model to calculate the prices of European call and put options on an asset priced at 68.5. The exercise price is 65, the continuously compounded risk-free rate is 4 percent, the options expire in 110 days, and the volatility is 0.38. There are no cash flows on the underlying.

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