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....

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.

What is the value of a one-year European call option with a strike price of $100?

What is the value of a one-year European put option with a strike price of $100?

Verify that the European call and European put prices satisfy put–call parity.