The price of a company's share changes once a month: it either increases by 20.92495977% or decreases by 17.30408661%. The price now stands at 140 euros. The risk-free interest rate is 1% per month.

1. What is the value of a one month call option and a one month put option with a strike price of 150 euros? Evaluate using the risk neutral approach. 2. What are the delta of these options? 3. Show how you can replicate the return on the purchase of 1 call option by buying shares company A in combination with a loan. Show how you can replicate the return on the purchase of 1 option by short selling Block shares in combination with a loan. 4. What is the value of a two-month call option? What is the value of a two-month put option?