Consider a two-interval binomial model, where the stock price starts at S0 = $100 per share. After each year, the price may go up by 20% or down by 20%, regardless of the change in the previous year. Consider a put option at the end of the two years for 100 shares of this stock, with strike price $94 per share. Throughout, assume that the risk-free investment is with annual interest rate 5%.

(a) Suppose the stock price goes up in a year. What would be a fair price for the put option by then?

(b) Suppose the stock price goes down in a year. What would be a fair price for the put option by then?

(c) Compute the fair price for the put option (for today).