1. Stock of X is currently 250. In any year, the price can increase or decrease by 30% with equal probabilities. The stock pays no dividends. The risk-free rate is 10% C.C. a) Construct the binomial tree and find the price of at the money European - style put and call option on stock X with a maturity of 2 periods. Show if the put-call parity holds.

b) Find the price of at the money American - style put and call options on stock X with a maturity of 2 periods. Show if the put-call parity holds.