3. You write a European put option with strike E = 95 and expiry T = 3 months. The stock price is initially So = 100. u = (a) Compute the fair price of the option using a 3-level tree model with zero interest rate, dt = 1/12, 1.1 and d = 0.9. (b) Consider one possible path through the latter tree model and describe the cash flow (i.e. compute balances) of the corresponding delta-hedging procedure. 3. You write a European put option with strike E = 95 and expiry T = 3 months. The stock price is initially So = 100. u = (a) Compute the fair price of the option using a 3-level tree model with zero interest rate, dt = 1/12, 1.1 and d = 0.9. (b) Consider one possible path through the latter tree model and describe the cash flow (i.e. compute balances) of the corresponding delta-hedging procedure