Consider a European call option on a non-dividend-paying stock where the stock price is $30, the strike price is $30, the risk-free rate is 7% per annum, the volatility is 30% per annum, and the time to maturity is four months.

Calculate u, d, a and p for a two-step tree. [Use 4 decimal places in your calculations.]

Calculate the Value of the option using a two-step tree. [Give your final answer to 2 decimal places.]