The price of a non-dividend-paying stock share is currently 55 and its volatility is 31%, while the drift is 10%. The risk-free rate, continuously compounded, is 6%. We want to find the price of an as-you-like-it option, with strike 55 and maturity T2 of six months. In such an option, the holder may chose at a given time T1, before maturity (T1 < T2), whether the option is a call or a put. In other words, at time T1 the holder may choose whether the uncertain payoff at time T2 will be given by a call or a put payoff. Both payoffs have the same strike, maturity, and underlying asset, of course. For which price of the underlying asset you are indifferent between choosing the put or the call option at T1? Estimate the value of the option at time t = 0, using a two-step binomial lattice, assuming that the choice has to be made after three months, i.e., half-way to maturity, which is six months (Clearly, this is a very rough estimate!).