A stock price is currently 540. It is known that at the end of 1 month it will be either 542 or $38. The risk free interest rate is 8% per annum with continuous compounding What is the value of a 1-month European call option with a strike price of $39? 11.2 Explain the no-arbitrage and risk-neutral valuation approaches to valuing a European option using a one-step binomial tree.