a)A stock price is currently $60. Over each of the next two three-month periods it is expected

to go up by 8% or down by 7%. The risk-free interest rate is 10% per annum with

continuous compounding. What is the value of a six-month European call option with a

strike price of $61?

b) Based on the information in part (a), what is the value of a six-month European put option

with a strike price of $61?

c) If the put option in part (b) were American option, what would be its value?