Value of a stock is currently at $40. Volatility of that stock is 30% per year and risk-free interest rate with continuous compounding is at 5% per year. Suppose you are planning to value a 3-month European call option with strike price at $41 using a two-step binomial model. Answer the following using this information. (Binomial Tree Approach to Option Valuation describe how to solve this problem)

a.) What is the set of values at expiration for the option?

b.) What is the set of values at the intermediate notes?

c.) What is the value of the option at present?