Consider a non-dividend-paying stock whose current price is $100. Using a two-period binomial tree and assuming that the risk-free rate is 0.30% per month and that u =1.05 and

 d = 0.95.

What is the current (i.e., time-0) price of a 2-month European call on the stock whose exercise price is $99? What is its price at the end of the first month (i.e., the start of the second month) in the up state? What is its price at the end of the first month in the down state.