The current price of the stock of Mont Tremblant Air is C$100. During each six-month period it will either rise by 11.1 percent or fall by 10 percent (equivalent to an annual standard deviation of 14.9 percent). The interest rate is 5 percent per six-month period.

(a) Calculate the value of a one-year European put option on Mont Tremblant’s stock with an exercise price of C$102.

(b) Recalculate the value of the Mont Tremblant put option, assuming that it is an American option.