The current stock price of Macquarie Group is $190. Over each of the next two three-month periods the stock price is expected to go up by 8% or down by 8%. The risk-free interest rate is 2.5% per annum with continuous compounding. a) Use a two-step binomial tree to determine the value of a six-month at-the-money American call option? Will the option be early exercised? (2 marks) b) Use a two-step binomial tree to determine the value of a six-month at-the-money American put option? Will the option be early exercised? (2 marks) c) Does the put-call parity also hold for the call and put options in questions a) and b)? Why? (1 mark)