Show your work. No credits will be given if only answers are shown.

Use the Black-Scholes option pricing model to value the European call and put

options on the stock. Both options have the same exercise price and the same

expiration date. The stock pays no dividends.

Stock price = $110 per share

Exercise price = $100 per share

Continuously compounded annual risk free rate of return = 5 percent

Time to option expiration date = 8 months

Annualized standard deviation of stock returns = 30 percent

Annual required return on equity = 15%