You are asked to value a European call option on a stock. The stock price is $50, the time to maturity is 9 months, the risk-free rate is 2% per annum, compounded continuously, the exercise price is $55, and the stock return volatility is 45%. Dividends of $0.75 are expected in 2 months, 5 months and 8 months. Use the Black-Scholes-Merton model to calculate the price of the option.

What if the option is a European put? Use the Black-Scholes-Merton model to determine its price.

Does the put-call parity hold for the pair of call and put options in a) and b)?