Use the binomial option pricing model to find the price of a call option. The call option has an exercise price of X=210 and it expires in one year. The underlying stock has a current price S0=200. Next year the price of the stock could be either St=220 or St=190 with equal probabilities. The annual risk-free rate is 7%.

Use Black-Scholes formula to find the value of a call option on the following stock: Time to expiration=3 months; standard deviation 40% per year; exercise price=$200; stock price=$190; annual risk free rate=7%; dividend=0. Select the closest answer.

Use Black-Scholes formula to find the value of a put option on the following stock: Time to expiration=6 months; standard deviation 40% per year; exercise price=$200; stock price=$210; annual risk free rate=7%; dividend=0. Select the closest answer.