1. Consider a American style fixed-strike lookback put option on a stock. The current stock price is $10, the volatility is 30% p.a., the dividend yield is 2% p.a., the risk-free interest rate is 5% p.a., the strike price is $11, and the option's maturity is 9 months. A 3-step binomial tree is used to valuate the option. 1.3380 1 4.0694 (a) Compute the tree parameters (At, u, d, a, pu and pa). (b) Compute the stock prices on the tree. (c) Compute all possible minimums attained. (d) Compute all possible terminal payoffs. (e) Compute the current option value. 15.6831 11.6183 8.6071 6.3763