A. A stock price is currently $50. It is known that at the end of six months it will be either $52 or $48. The risk-free interest rate is 5% per annum with continuous compounding.

What is the value of a six-month European call option with a strike price of $50? Verify that no-arbitrage arguments and risk-neutral valuation arguments give the same answers.

B. A stock price is currently $60. It is known that at the end of eight months it will be either $65 or $55. The risk-free interest rate is 8% per annum with continuous compounding.

What is the value of an eight-month European put option with a strike price of $60? Verify that no-arbitrage arguments and risk-neutral valuation arguments give the same answers

Please show the work not using excel