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Consider the following scenario: The price of a stock currently trading at $80 can go up...

Consider the following scenario: The price of a stock currently trading at $80 can go up by 10% or down by 15% per period for two periods. The risk-free rate is 3% p.a. (continuous compounding). A European put option expiring in 2-years has a strike price of $77. (Note: Present all your calculations regarding the values in each node of the binomial tree and round up your answers to 3 decimal digit)

a. Calculate the current value of this European put option.

b. Determine the value of an American version of this put option.

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