Suppose S = $ 37, K = $ 41, r = 4 %, delta(the annualized dividend rate) is 10 %, sigma(the annualized standard deviation of the continously compounded stock returns) is 48 %, and T = 0.75 years. Use the Black-Scholes formula to compute:


a) The price of a $ 41-strike European call $?




b) The price of a $ 41-strike European put $?