A non-dividend paying stock currently trades at a price of $25. European and American call and put options on the stock with a time to expiration of 180 days have an exercise price of $26. You forecast that the stock price can go up 5% or down 4% in each period of length 90 days each. The annually compounded risk free rate is 3%. Use the two-period BOPM.

The value of the European put option is closest to:

a. $1.45

b. $1.05

c. $1.55

The value of the European call option is closest to:

a.$0.53

b. $0.63

c. $0.43