23.2. (14) A stock price is currently $41. At the end of three months, it will be either $45 or $36. The risk-free interest rate is 7% with continuous compounding.. a. Use the no-arbitrage binomial method to calculate the value of a 3-month European call option on the stock with strike price $42: Determine delta to create a risk-free portfolio of options and shares; find the value of this portfolio after three months and discount it to determine the option value today. b. Calculate the same option value using the risk-neut al method: Calculate the risk-neutral probability of the stock price going up: use it to calculate the expected value of the option after three months, discount it to get the option value today. 23.2. (14) A stock price is currently $41. At the end of three months, it will be either $45 or $36. The risk-free interest rate is 7% with continuous compounding.. a. Use the no-arbitrage binomial method to calculate the value of a 3-month European call option on the stock with strike price $42: Determine delta to create a risk-free portfolio of options and shares; find the value of this portfolio after three months and discount it to determine the option value today. b. Calculate the same option value using the risk-neut al method: Calculate the risk-neutral probability of the stock price going up: use it to calculate the expected value of the option after three months, discount it to get the option value today