spot price: 66

strike price 68

risk-free interest rate is 6% per annum with continuous compounding, please undertake option valuations and answer related questions according to following instructions:

Binomial trees: Additionally, assume that over each of the next two four-month periods, the share price is expected to go up by 11% or down by 10%.

a. Use a two-step binomial tree to calculate the value of an eight-month European call option using the no-arbitrage approach.

b. Use a two-step binomial tree to calculate the value of an eight-month European put option using the no-arbitrage approach.