ABC's stock price is $90. The stock price will either increase 10% or decrease 8% in the

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ABC's stock price is $90. The stock price will either increase 10% or decrease 8% in the first month. If the price increases in the first month, it will go up by $12 or down by $15 in the second month. If the price decreases in the first month, it will go up by $16 or down by $22 in the second month. The monthly risk- free interest rate is 3% in the first month and 5% in the second month. a) Using the replicating portfolio approach, calculate the value of a 2-month ATM put option. b) Using the risk neutral probability approach, calculate the value of a 2-month call option with a strike price of $92.