1. A non-dividend-paying stock selling at $100 will either go up by 10% or go down by 10% each month for the next 2 months. The constant risk-free rate is 12% per annum with continuous compounding.

a) What is the price of a 2-month American call option with a strike price of $95?

b) What is the price of a 2-month American put option with a strike price of $95?

c) How will your answers to a) and b) change if the stock price goes up by 10% but goes down by 20% (instead of 10%) each month for the next 2 months?