A stock price is currently $30. It is known that at the end of three months it will be either $35 or $25. The risk-free rate of interest with...

A stock price is currently $30. It is known that at the end of three months it will be either $35 or $25. The risk-free rate of interest with quarterly compounding is 12% per annum. Calculate the value of a three-month European put option on the stock with an exercise price of $30. Verify that no-arbitrage arguments and risk-neutral valuation arguments give the same answers.