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The stock price is currently $40. Over each of the next two three-month periods, it is expected to go up by 10% or down by

The stock price is currently $40. Over each of the next two three-month periods, it is expected to go up by 10% or down by 10%. The risk-free rate is 12% per annum with continuous compounding.

21. (7 points) What is the value of a 6-month European call with a strike price of $45?

22. (7 points) What is the value of a 6-month American put with a strike price of $42?

23. (6 points) What is the value of a derivative that pays off (square) in six months?

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