A stock price is currently $72.00. It is known that at the end of 4 months it will be either $80.00 or $65.00. The risk-free interest rate is 10% per annum with continuous compounding.

a) What is the value of a 4-month European call option with a strike price of $75.00? Use no-arbitrage arguments.

b) Now calculate the value of a 4-month European call option with a strike price of $75.00 using risk-neutral valuation.