Suppose XYZ is a non-dividend-paying stock. The current stock price is S = $60, the volatility is ? = 40%, and the risk-free interest rate is r = 3%.
(a) Using the Black-Scholes-Merton formula or the Black-Scholes-Merton calculator, find the price of a three-year European call option on XYZ with a strike price of $65.
(b) Using put-call parity, find the price of a three-year European put option on XYZ with the same strike price. (Please show the calculation using put-call parity. Do not simply take the put value from a Black-Scholes-Merton calculator.)