Call-Put Parity What if strikes for call and put are equal to each other but not equal to
Find the price of a 1-year call option for 1 Pound with the strike price of 1.77 $/Pound if today's spot rate is 1.7 $/Pound, next year it can either go up to 1.9 $/Pound (with 67% probability) or go down to 1.6 $/Pound (with 33% probability). The interest rates in U.S. and U.K. are 4% and 7% respectively.
I would like to know step-by-step how I would come to the answer here.
I've attached slides relevant to this question.