Suppose we seek to value two-year European-style call and put options on the periodically compounded one-year spot interest rate (the underlying). Assume the notional amount of the options is US$1,000,000 and the call and put exercise rate is 3.25% of par. Assume the risk neutral probability is 50% and: S0 = 3.0454, S+ = 3.9084, S- = 2.6034, S++ = 3.9706%, S+- = 3.2542%, S-- = 2.2593. For calculations of Step 1 annual risk-free interest rates are 3.9084 (for up movement) and (for down movement 2.6034), for calculations of Step 0 annual risk-free interest rate is 3.0454 (for up and down movements). What are the values of American-style call and put options with same characteristics?