year with continuous compounding. Assume that one call option gives the holder the right to purchase one share. a. Use the Black-Scholes-Merton model to estimate the fair value of a European call option on XYZ shares. with exercise price of $125 and expiration date of March 21, 2017. (Note that 2017 is not a leap year.) (11.5 marks) This European call option has a market price of $3.00. Is it correctly priced? If not, how can an investor use the put-call parity to take advantage of this arbitrage opportunity? (5.5 marks)