Question: Long Answer Question (10 Marks) A stock price is currently $100. Over each of the next two six-month periods it is expected to go up

Long Answer Question (10 Marks) A stock price is currently $100. Over each of the next two six-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. 1. What is the value of a one-year European call option with a strike price of $100 ? 2. What is the value of a one-year European put option with a strike price of $100 ? 3. Verify that the European call and European put prices satisfy put-call parity

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