Consider a European call option on a non-dividend-paying stock with a strike price of $145 and expiration in 6 months. The current stock price is $140. The stock's volatility is 10%. Over each of the next two three-month periods, the stock price is expected to go up by 5% or down by 5%. The risk-free interest rate is 5% per annum with continuous compounding for all maturities.

(a) Use a two-step binomial tree to calculate the value of this European call option. Show your step-by-step workings. Note: No need to draw a binomial tree in the answer field. Just show your calculations.

(b) Use the Black-Scholes-Merton model to calculate the value of this European call option. Show your step-by-step workings.