1. A stock price is currently $50. It is known that at the end of two months it will be either $53 or $48. The risk free interest rate is 10% per annum with continuous compounding. What is the value of a two-month European call option with a strike price of $49? Use no-arbitrage arguments.
2. A stock price is currently $100. Over each of the next six-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a one-year European Call option with a strike price of $100?
3. ) For the situation considered in previous situation, what is the value of a one-year European put option with a strike price of $100? Verify that the European call and European put prices satisfied put-call parity.

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