For a stock index, = $100, = 30%, = 5%, = 3%, and = 3. Let = 3. a. What is the price of a European call option with a strike of $95? b. What is the price of a European put option with a strike of...

For a stock index,
= $100,

= 30%,

= 5%,

= 3%, and
= 3. Let
= 3.

a. What is the price of a European call option with a strike of $95?

b. What is the price of a European put option with a strike of $95?

c. Now let

= $95,

= $100,

= 30%,

= 3%, and

= 5%. (You have exchanged values for the stock price and strike price and for the interest rate and dividend yield.) Value both options again. What do you notice?