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2. CRR Binomial Model. Using the CRR model provided in Excel spreadsheet, let Ap = 100, r = 4%,0 = 12%, te = 1, N

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2. CRR Binomial Model. Using the CRR model provided in Excel spreadsheet, let Ap = 100, r = 4%,0 = 12%, te = 1, N = 12. (a) Calculate the price of a 1 year call option with K = 100. (b) Calculate the price of same option using BSM Call Formula. (c) Calculate the price of 1 year European style option with the fol- lowing payoff at expiration: C(te) = max(0, A?(te) - 10000)

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