Solution
= Solution
{c}
For matching European strike and expiry with no dividends, <put-call parity> gives $C_0-P_0=S_0-Ke^{-2r}$. Using the rate and put price from part (c),
$$
\boxed{C_0=\frac{800}{121}+100-\frac{11700}{121}=\frac{1200}{121}\text{ pounds}\approx9.9174.}
$$
As a check, only the $uu$ call payoff is positive, at $27$. Its risk-neutral expectation is $27(2/3)^2=12$, and discounting by $1.1^2$ gives the same value.