(1) What is the value of u? (Leave 2 d.p. for the answer)

(2) What is the value of S_ud? (Leave 2 d.p. for the answer)

(3) What is the value of C_uu? (Leave 2 d.p. for the answer)

(4) What is the value of C_ud? (Leave 2 d.p. for the answer)

(5) What is the value of C_dd?

(6) What is the value of C_u? (Leave 2 d.p. for the answer)

(7) What is the value of C_d? (Leave 2 d.p. for the answer)

(8) What is the call option premium C? (Leave 2 d.p. for the answer)

(9) If the option is American style, in which node (u or d) do you want to exercise before expiration?

Select one:

a. Node u

b. Node d

(10) What is the American call option premium? (Leave 2 d.p. for the answer)

With the following information: Spot price 1100 Strike price 185 Continuously compounded Risk-free rate 2% Continuous Dividend yield 3% Time to maturity 11 year Annualized volatility 10.3 Construct a 2-step binomial tree for a European call option. Suu Cuu Su Cu Au Bu S C Sud = Sdu Cud = Cdu B Sa Cd Ad Ba Sad Cad