Problem 1. (Black-Scholes formula, 12') Use the Black-Scholes formula for calculations and show your steps. When evaluating N(z), use the values in the attached N(z) table. a. What is the price of a $35 strike European call? Assume the current stock price is $38.50, the annual volatility is 0.25 , the annualized continuously compounding interest rate is 6%, the stock pays no dividend, and the option expires in 45 days (assume 365 days a year). (6') b. What is the price of a $30 strike European put? Assume the current stock price is $28.50, the annual volatility is 0.32 , the annualized continuously compounding interest rate is 0.04 , the stock pays a 1.0% continuous dividend, and the option expires in 110 days. (Assume 365 days a year). (6')