What are the values of european call and put options

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Consider a two period (t = 0, 1, 2) binomial model with u = 1.2, d = .9, continuously compounded interest rate r = 4.879%, and S = 100. The stock will pay no dividends.

-What are the values of European call and put options with strike prices of $115 expiring at time 1?

-What are the values of European call and put options with strike prices of $115 expiring at time 2?

-What are the prices of otherwise identical American options? Does Put-Call Parity hold?

Reference no: EM132813919

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