1. For the situation considered in Example 13.1, page 18, what is the value of a 1-year European pu option with a strike price of $100 ? Verify that the European call and European put prices satisfy put-call parity. 10,28 A A stock price is currently $100. Over each of the next two 6-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 1-year European call option with a strike price of $100? Example 13.1 In this case, u=1.1,d=0.9,t=0.5, and r=0.08. p=udertd,p=1.10.9e0.080.50.9=0.70405,1p=0.29595 0.7040e0.00r0521=14.2 0.7040e0.0nx+514.2=9.61 0.7040e0.0640514.2=9.61