Consider an option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is 6 months. Use a two-step tree to value the option if it is a (a) European call; (b) European put; (c) American call; (d) American put