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2. A stock selling at $100 will either go up by 10% or go down by 10% each month for the next two months. The

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

a) What is the price of a 2-month European call option with a strike price of $90?

b) What is the price of a 2-month European put option with a strike price of $90?

c) What is the price of a 2-month American call option with a strike price of $90?

d) What is the price of a 2-month American put option with a strike price of $90?

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