In this question, you need to price options with different valuation approaches and comment on your results. You will consider puts and calls on a share with spot price of $60. Strike price is $64. The riskfree interest rate is 5% per annum with continuous compounding.

Binomial trees: Furthermore, assume that over each of the next two two-month periods, the share price is expected to go up by 6% or down by 6%.

d. Use a two step-binomial tree to calculate the value of a four-month European call option using risk-neutral valuation.

e. Use a two step-binomial tree to calculate the value of a four-month European put option using risk-neutral valuation.

f. Verify whether the no-arbitrage approach and the risk-neutral valuations lead to the same results.

g. Use a two-step binomial tree to calculate the value of a four-month American put option.

h. Without calculations: What is the value of a four-month American call option with a strike price of $64? Why?