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A 3-year maturity structured prod uot on SPY has the following payoff: 450 if 4003.5} ' 2x(ST250)+150 if 250ssrs400 150 if 150::ST3250 Q ST

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A 3-year maturity structured prod uot on SPY has the following payoff: 450 if 4003.5} '\ 2x(ST250)+150 if 250ssrs400 \ 150 if 150::ST3250 Q ST if 51T 5150 (b where ST is SPY price at the maturity date. SPY - . price 5 $242 and its volatility is 20%. The risk-free interest rate is 4 consider a 6-step binomial tree. A

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