50 4% r= 35. Suppose you have the following: SE stock price risk free rate T= maturity t= time to expiration 0= vol q div yield 5 25% 0 15 Conv. Ratio Credit Spread Coupon 4% 20 a) (2 points) Fill in the probability tree for the stock price movements (hint: up probability is p=(e^(r*t)-d)/(u-d)): ? ? ? ? ? ? ? ? ? 50 ? ? ? ? ? ? ? ? ? ? ? b) (2 points) Fill in the probability tree of conversion at each node assuming that in year 5 the bond pays $1020: ? ? ? ? ? ? Conversion ? ? ? Prob ? ? ? at each ? ? ? node ? ? ? ? ? ? 50 4% r= 35. Suppose you have the following: SE stock price risk free rate T= maturity t= time to expiration 0= vol q div yield 5 25% 0 15 Conv. Ratio Credit Spread Coupon 4% 20 a) (2 points) Fill in the probability tree for the stock price movements (hint: up probability is p=(e^(r*t)-d)/(u-d)): ? ? ? ? ? ? ? ? ? 50 ? ? ? ? ? ? ? ? ? ? ? b) (2 points) Fill in the probability tree of conversion at each node assuming that in year 5 the bond pays $1020: ? ? ? ? ? ? Conversion ? ? ? Prob ? ? ? at each ? ? ? node