8. (15pts) Suppose Carol's stock price is currently $60. If the standard deviation of the continuously compounded returns () on a stock is 40 percent per year. The annual risk-free rate is 6%. A. Using one-step binomial tree, what is the current value of a one-year call option with an exercise price of $75 ? B. Using two-step binomial tree, what is the current value of a two-year put option with an exercise price of $45 ? C. Using a black-sholes model, what is the current value of a two-year call option with an exercise price of $75 ? d1=tlog[PV(EX)P]+2t d2=d1t OC=[N(d1)P][N(d2)PV(EX)] 8. (15pts) Suppose Carol's stock price is currently $60. If the standard deviation of the continuously compounded returns () on a stock is 40 percent per year. The annual risk-free rate is 6%. A. Using one-step binomial tree, what is the current value of a one-year call option with an exercise price of $75 ? B. Using two-step binomial tree, what is the current value of a two-year put option with an exercise price of $45 ? C. Using a black-sholes model, what is the current value of a two-year call option with an exercise price of $75 ? d1=tlog[PV(EX)P]+2t d2=d1t OC=[N(d1)P][N(d2)PV(EX)]