Problem 16-23 Black-Scholes Model (LO2, CFA2) A stock has a price of $35 and an annual return volatility of 48 percent. The risk-free rate is 3.03 percent. Perform calculations in Excel. a. Calculate the European call and European put option prices with a strike price of $33.00 and a 90-day expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answers to 2 decimal places.) Call premium Put premium 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.) Call delta Put delta Problem 16-23 Black-Scholes Model (LO2, CFA2) A stock has a price of $35 and an annual return volatility of 48 percent. The risk-free rate is 3.03 percent. Perform calculations in Excel. a. Calculate the European call and European put option prices with a strike price of $33.00 and a 90-day expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answers to 2 decimal places.) Call premium Put premium 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.) Call delta Put delta