Question $13\mathrm{.}11$:

A stock price is currently $$200.$ Over each of the next two $6-$month periods it is expected to go up by $12\%$ or down by $8\%.$ The risk$-$free interest rate is $6\%$ per annum with continuous compounding. What is the value of a $1-$year European call option with a strike price of $$200?$

Question $13\mathrm{.}12$:

For the situation considered in Problem $13\mathrm{.}11,$ what is the value of a $1-$year European put option with a strike price of $$200?$ Verify that the European call and European put prices satisfy put$$call parity.