Value the listed call and put options, ignoring dividends. Consider volatility here to be 36.85%.

A) Use the same tree to value the 1- and 2-year listed options. To do so, cut the length of a step (e.g., for 1-year options, 1 step = 4 months = 1/3 year). The options being American, the option tree should be adapted to allow early exercise (i.e., before maturity). Show all the calculations in excel.

B) Might these options be exercised early?

Expiration Date	Option Symbol	Type	Strike Price ($)	Bid ($)	Ask ($)	Open Interest
17 Jan 2009	VRN.AE	Call	25	4.7	4.7	39,297
VRN.AF	Call	30	2.6	2.61	87,923
VRN.ME	Put	25	3.4	3.45	69,211
VRN.MF	Put	30	6.25	6.25	105,537
16 Jan 2010	WRV.AE	Call	25	6.1	6.4	19,821
WRV.AF	Call	30	4.15	4.45	44,015
WRV.ME	Put	25	4.75	4.9	23,785
WRV.MF	Put	30	7.55	7.9	49,501