1) Use a three-period binomial model for this question. A stock has a current price of $25 and can go up or down by 10% of its value over any period. The risk-free rate is 2% per period.

a) Calculate the current value of a European Call option which has a strike price of $20

b) Calculate the current value of a European Call option which has a strike price of $20, where the contract caps the maximum final intrinsic value at $10.

c) Does an American style option with the same details as part a) or b) have any additional value over the European version?

d) Find the current value of a knock-in option with a barrier level of $27. The knock-in is a European Call with strike price $20.

e) Find the current value of a binary option with a cash payout for in-the-money options of $25. This is a European Call with strike price $20.