A. A stock price is currently $30. It is known that at the end of two months it will be either $33 or $27. The risk-free interest rate is 11% per annum with continuous compounding. What is the value of a two-month European call option with a strike price of $30? Use no-arbitrage arguments.

B. A stock price is currently $40. It is known that at the end of four months it will be either $44 or $36. The risk-free interest rate is 9% per annum with continuous compounding. What is the value of a four-month European put option with a strike price of $40? Use no-arbitrage arguments.

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