A companys stock price is S0 = 110 GBP today. It will either rise or fall by 10% after one period. The risk-free interest rate for one period is r = 5%.

(1) Find the risk-neutral probability that makes the expected return of the asset equal to the risk-free rate.

(2) Find the prices of call and put options with the exercise price of 100 GBP.

(3) How can the put option be duplicated? (4) How can the call option be duplicated? (5) Check put-call parity.