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1. Suppose you are given: S 0 = 40, S u = 60, S d = 20, S u u = 90, Sud = S

1. Suppose you are given:

S₀= 40, S_u = 60, S_d = 20, S_u_u= 90, Sud = S_du = 30, S_dd = 10, r (annual continuously compounded risk-free rate) = 0.06, (annual continuously compounded dividend yield) = 0.05 .

a) What is the price of a 2-year up-and-in call option with barrier 50 and strike 42

b) What is the price of a 2-year down-and-in put option with barrier 30 and strike 42

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