In this question, you need to price options with binomial trees. You will consider puts and calls on a share with spot price of $30. Strike price is $34. Furthermore, assume that over each of the next two four-month periods, the share price is expected to go up by 11% or down by 10%. The risk-free interest rate is 6% per annum with continuous compounding. a. Use a two-step binomial tree to calculate the value of an eight-month European call option using the no-arbitrage approach.

b. Use a two-step binomial tree to calculate the value of an eight-month European put option using the no-arbitrage approach.