1.Let S = $55, K = $60, r = 5% (continuously compounded), T = 1, and d = 0. Let u = 1.1, d = 0.9, and n = 1. What are D and B for a European put?

a.D = 0.8915; B = 59.7127

b.D = 0.6796; B = 42.9031

c. D = 0.7140; B = 44.3863

d.D = 0.9545; B = 54.9335

e.D = 1.2724; B = 71.1938

2.Let S = $40, K = $35, r = 5% (continuously compounded), T = 1, and d = 0. Let u = 1.2, d = 0.7, and n = 1. Calculate the value of a European call if D = 0.650000 and B = 17.3124.

a.$10.251

b.$8.688

c.$11.033

d.$9.817

e.$10.165