For a European call option on a non-dividend-paying stock, the stock price is $30, the strike price is $29, the risk-free rate is 6% per annum, the

For a European call option on a non-dividend-paying stock, the stock price is $30, the strike

price is $29, the risk-free rate is 6% per annum, the volatility is 20% per annum and the time

to maturity is three months. Expressed in terms of the cumulative normal function, N(x),

(i) What is the price of the option? (5)

(ii) What is the price of the option if it is a put? (5)

(iii) What is the price of the option if a dividend