Consider a non-dividend-paying stock whose current price S(0) = S is $40. After each period, there is a 60% chance that the stock price goes up by 20%. If the stock price does not go up, then it drops by 10%. A European call option and a European put option on this stock expire on the same day in 3 months at $43 strike. Current risk-free interest rate is 6% per annum, compounded continuously. Use the Black-Scholes option pricing formula to calculate the call option price after three months. Use sigma = ln u/Squareroot Delta t with u = 1.20 and Delta t = 1/12. Use a computer algebra device to calculate N(x) for appropriate x, but you have to show manually all the components required for the formula. Use the Black-Scholes option pricing formula from Problem 1 to calculate the put option price