a) A stock price is currently $93.00. Over each of the next three 2-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8.5% per annum with continuous compounding. What is the value of a 6-month European call option with a strike price of $92.00? (To do this you will build a 3-stage binomial model.)

b) Using the same inputs as in the problem above, calculate the value of a 6-month European put option with a strike price of $92.00.