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1 (10*4 = 40 points) Consider the following one-period binomial model with interest rate 0.05. t=0 t=1 1100 1000- 1000 1. Show the martingale probability.

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1 (10*4 = 40 points) Consider the following one-period binomial model with interest rate 0.05. t=0 t=1 1100 1000- 1000 1. Show the martingale probability. 2. Find the replicating portfolio of the call option with strike price 1010. 3. Find its price. 4. Find the price of the put option with strike price 1020. 1 (10*4 = 40 points) Consider the following one-period binomial model with interest rate 0.05. t=0 t=1 1100 1000- 1000 1. Show the martingale probability. 2. Find the replicating portfolio of the call option with strike price 1010. 3. Find its price. 4. Find the price of the put option with strike price 1020

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