(Multi-period binomial model, American and European options) Consider the following two-period binomial model, in which the annual interest rate is 3% and in which the stock price goes up by 15% per period or down by 10%:

a. Price a European call on the stock with an exercise price of $60.

b. Price a European put on the stock with an exercise price of $60.

c. Price an American call on the stock with an exercise price of $60.

d. Price an American put on the stock with an exercise price of $60.

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A B C D E F G H J K 3 Up 15% 4 Down -10% 5 6 Initial stock price 50 7 Interest rate 3% 8 Exercise price 60 9 10 Stock price Bond price 11 12 13 14 57.5 50 50 45 15 W 66.13 1.0609 1.03 51.75 1 1.0609 1.03 40.50 1.0609 16 Date 0 Date 1 Date 2 Date 0 Date 1 Date 2