Question 4 (Black-Scholes-Merton Model) - (15 Marks) Consider an option on a non-dividend-paying stock when the stock price is $19, the exercise price is $20, the risk-free interest rate is 1.5% per annum (continuous compounding), the volatility is 20% per annum, and the time to maturity is one year. a) What is the price of the option if it is a European call? b) What is the price if it is a European put (hint: use put-call parity)? c) Is there another way to calculate the put price? Explain. d) Explain the concept and the assumptions underlying the Black-Scholes-Merton Pricing formula