Problem $16-23$ Black$-$Scholes Model $($LO$2,$ CFA$2)$

A stock has a price of $$37$ and an annual return volatility of $50$ percent. The risk$-$free rate is $3\mathrm{.}05$ percent. Perform calculations in Excel.

a$.$ Calculate the European call and European put option prices with a strike price of $$34\mathrm{.}00$ and a $90-$day expiration. $($Use $365$ days in

a year. Do not round intermediate calculations. Round your answers to $2$ decimal places.$)$

b$.$ Calculate the deltas of the European call and European put. $($Use $365$ days in a year. A negative value should be indicated by a

minus sign. Do not round intermediate calculations. Round your answers to $4$ decimal places.$)$