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Call-Put Parity What if strikes for call and put are equal to each other but not equal to

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.  

Answer: $0.0218

I would like to know step-by-step how I would come to the answer here.

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Rosa Parks 09-Nov-2017

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