2. (10 marks: 2 marks each) Consider a 2-period Binomial Model for a stock given by: Time 0 Time 1 Time 2 uso uoso So douo So doso da so With So = $10, uo = 1.1, do = 0.9. Denote the price of the stock at time t by St. A risk free bond is worth Bt $10 for all t. a) (2 marks) Find the pricing probability that the stock price rises from $10.00 at time 0 to below $9.5 at time 2. b) (3 marks) Compute the expected value, at time t = 2, of the portfolio II2 = S2 B2 under the pricing probability. c) (2 marks) Compute the value, at time 0, of a European Call with strike price $9.50 expiring at time 2, written on the stock modelled here.. d) (3 marks) Find the price of a Strangle expiring at time 2 with strikes K1 = $9.50 and K2 = $10.50. 2. (10 marks: 2 marks each) Consider a 2-period Binomial Model for a stock given by: Time 0 Time 1 Time 2 uso uoso So douo So doso da so With So = $10, uo = 1.1, do = 0.9. Denote the price of the stock at time t by St. A risk free bond is worth Bt $10 for all t. a) (2 marks) Find the pricing probability that the stock price rises from $10.00 at time 0 to below $9.5 at time 2. b) (3 marks) Compute the expected value, at time t = 2, of the portfolio II2 = S2 B2 under the pricing probability. c) (2 marks) Compute the value, at time 0, of a European Call with strike price $9.50 expiring at time 2, written on the stock modelled here.. d) (3 marks) Find the price of a Strangle expiring at time 2 with strikes K1 = $9.50 and K2 = $10.50