A stock price is currently $100 and at the end of four months it will be . A derivative written on this stock pays off in four months. Given that u = 1.15, d = 0.87, and that the risk-free interest rate is 10% p.a. (continuously compounded), answer the following questions using a one-period binomial model(show all the details of your calculations and display the results with four decimal places):

i) Calculate the value of (change)

(5 marks)

ii) Calculate the current value of the derivative.

(5 marks)