a. Calculate the value of a call option on the stock in Problem 9 with an exercise price of 110.

b. Verify that the put-call parity theorem is satisfied by your answers to Problem 9 and part (a).

(Do not use continuous compounding to calculate the present value of X in this example;

because we are using a two-state one-period model here, the assumed 10% interest rate is an effective rate per period.) p-69