A stock price is currently $100. Over each of the next two six-month periods, it is expected to go up by 10% or down by 15%. Assume the risk-free interest rate is currently 3% for all maturities (continuously compounded).

1. What is the value of a European call option with a strike price of $90? Use both methods to price the option

2. What is the value of a European put option with a strike price of $90? Use the risk-neutral valuation Would the answer change if the put option is American, instead of European?

3. What is the value of a European put option with a strike price of $70?