Suppose that the current price of stock A is $70 per share and the price follows the jump diffusion.

Suppose that the current price of stock A is $70 per share
and the price follows the jump diffusion model in Eq. (6.26). Assume that the
risk-free interest rate is 8% per annum, the stock pays no dividend, and its
volatility (_ ) is 30% per annum. In addition, the price on average has
about 15 jumps per year with average jump size _2% and jump standard
error 3%. What is the price of a European call option with strike price $75
that will expire in 3 months? What is the price of the corresponding European
put option?