4 Binomial trees 1. Suppose that Contact Energy currently trades at $2.04. The interest rate is 1% (with continuous compounding), and Contact Energy shares have a volatility of 16%. Set up a two step binomial tree for the stock, with each step representing three months. (a) What is the value of an American call option with strike price $2.15, maturing in six months time? (b) What is the value of a American put option with strike price $2.15 maturing in six months time? (c) Verify that the two prices satisfy the put-call relationship for American options