A European option has a strike price of $45, the underlying stock price is $45, the...

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A European option has a strike price of $45, the underlying stock price is $45, the option expires in one year. The risk-free rate is 3%. The stock price, one year from now, can either be $60 or $40. Use a one-step binomial tree and construct a risk-free portfolio in order to: a. find the value of the option if the option is a Call b. find the value of the option if the option is a Put A European option has a strike price of $45, the underlying stock price is $45, the option expires in one year. The risk-free rate is 3%. The stock price, one year from now, can either be $60 or $40. Use a one-step binomial tree and construct a risk-free portfolio in order to: a. find the value of the option if the option is a Call b. find the value of the option if the option is a Put