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2.Consider a European call option on a non-dividend paying stock where the current stock price is So = 40, K = 40,0 = .40 and

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2.Consider a European call option on a non-dividend paying stock where the current stock price is So = 40, K = 40,0 = .40 and r = :.04 (a).Find u and d and the risk neutral probability p. (6) Using a 2 step Binomial Option Pricing Model, find the price of a 6 month European call option. Draw the tree and write the relevant information at each node (the stock price above and the value of

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