8. An European put option with a strike price 45 matures in one year. Divide the one-year interval into two six-month intervals. The continuously compounded risk free rate of interest is 4.5 percent and the volatility is 20 percent per annum. (a) Using the expression u = Exp| - ,*) +ova = exp[(---) m-oval d determine the u and d. (b) Determine the risk neutral probability of an up state occurring. 3 (c) If the current stock price is 35, determine the value of the option using the risk neutral probability. 8. An European put option with a strike price 45 matures in one year. Divide the one-year interval into two six-month intervals. The continuously compounded risk free rate of interest is 4.5 percent and the volatility is 20 percent per annum. (a) Using the expression u = Exp| - ,*) +ova = exp[(---) m-oval d determine the u and d. (b) Determine the risk neutral probability of an up state occurring. 3 (c) If the current stock price is 35, determine the value of the option using the risk neutral probability