A stock is currently priced at $100 with a standard deviation () of 13.48% pa. The continuously-compounded risk free interest rate is 8% per annum.

A stock is currently priced at $100 with a standard deviation (σ) of 13.48% pa. The continuously-compounded risk free interest rate is 8% per annum. A European call option with $90 strike price and one year to expiry is written on this stock. 

a) Use the delta-hedging approach and a two-step Binomial tree to value the call option. 

b) Use the delta-hedging and a two-step Binomial tree to value a European put option with $90 strike and one year to maturity. 

c) Does put-call parity hold?