Give an example of a Cox-Ross-Rubinstein model with expected relative stock return equal to 0.1, E[S(t) =

Question:

Give an example of a Cox-Ross-Rubinstein model with expected relative stock return equal to 0.1, E[S(t) = S(t − 1)] = 0.1, and variance equal to 0.2,Var[S(t) = S(t − 1)] = 0.2. That is, choose the values of parameters p.u. and d so that these conditions are satisfied.