Question: Hi, could you please help me with this question? Consider a call option written on a non-dividend-paying stock when the current stock price is $35,

Hi, could you please help me with this question?

Consider a call option written on a non-dividend-paying stock when the current stock price is $35, the exercise price is $30, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is 4 months.

a) What is the price of a European call option written on the stock?

b) What is the price of an American call option written on the stock?

c) Assume that the stock will pay a dividend in 2 months. The expected dividend is 60 cents. What is the price of a European call option written on the dividend-paying stock?

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