The price of a stock is currently $20. Over each of the next two three-month periods, the stock can go up by 10% or down by 10%. The risk free interest rate is 12% per annum with continuous compounding. (a) What is the current value of a six-month European put option with a strike price of $22? (b) What is the current value of a six-month American put option with a strike price of $22?

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