6. Consider a 6-month European Ca1 with a strike price of $90 on a discrete dividend paying stock with current price $100. Suppose that there are 2 time steps, and in each 3-month time step the stock price follows CR binomial tree model with volatility =0.4. $5 dividend will be paid after movement of stock price in 3 months. The continuously risk-free interest rate is 6%. (a) Calculate u,d and p. Find the premium of the call option. (b) Suppose you can buy or sell a call option in (a) for $14. Construct an arbitrage strategy by delta hedging. How much do you have at time 0 ? 6. Consider a 6-month European Ca1 with a strike price of $90 on a discrete dividend paying stock with current price $100. Suppose that there are 2 time steps, and in each 3-month time step the stock price follows CR binomial tree model with volatility =0.4. $5 dividend will be paid after movement of stock price in 3 months. The continuously risk-free interest rate is 6%. (a) Calculate u,d and p. Find the premium of the call option. (b) Suppose you can buy or sell a call option in (a) for $14. Construct an arbitrage strategy by delta hedging. How much do you have at time 0