Solved: What is the price of option is a european call, Finance Basics

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What is the price of option is a european call

Assignment:

Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5%, the volatility is 25% per annum, and the time to maturity is four months.

a. What is the price of the option if it is a European call?

b. What is the price of the option if it is an American call?

c. What is the price of the option if it is a European put?

d. Verify that put-call parity holds.

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