The current price of one share of stock A is $300….

The current price of one share of stock A is $300….

The current price of one share of stock A is $300. One period from now, its price either goes up to $375, or goes down to $240. The interest rate per period is r = 0.67%. An alpha-option gives its owner the right, but not the obligation, to exercise at most one
of the options below in the next period:
 A call option on stock A with a strike price of $300.
 A put option on stock A with a strike price of $400.
(a) What is the value of one unit of alpha-option in the event that the stock price goes up to $375?
(b) What is the value of one unit of alpha-option in the event that the stock price goes down to $240?
(c) What should be the no-arbitrage price for one unit of alpha-option now?