a) Consider a European call option on a non dividend paying stock where the stock price is $140, the strike price is $140, the risk free rate is 5 per annum, the volatility is 10 per annum, and the time to maturity is 4 months i)Calculate u, d, and p for a two step tree ii)Value the option using a two step tree Plot the tree b) If the call option above were an American put, how your calculations change i)Calculate u, d, and p for a two step tree ii)Value the option using a two step tree Plot the tree a) Consider a European call option on a non dividend paying stock where the stock price is $140, the strike price is $140, the risk free rate is 5 per annum, the volatility is 10 per annum, and the time to maturity is 4 months i Calculate u,d, and p for a two step tree ii Value the option using a two step tree Plot the tree b) If the call option above were an American put, how your calculations change i Calculate u,d, and p for a two step tree ii Value the option using a two step tree Plot the tree

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a) Consider a European call option on a non-dividend-paying stock where the stock price is $140, the strike price is $140, the risk-free rate is

i)Calculate u, d, and p for a two-step tree.

ii)Value the option using a two-step tree. Plot the tree.

b) If the call option above were an American put, how your calculations change?

i)Calculate u, d, and p for a two-step tree.

ii)Value the option using a two-step tree. Plot the tree.

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a) Consider a European call option on a non-dividend-paying stock where the stock price is $140, the strike price is $140, the risk-free rate is 5% per annum, the volatility is 10% per annum, and the time to maturity is 4 months. i. Calculate u,d, and p for a two-step tree. ii. Value the option using a two-step tree. Plot the tree. b) If the call option above were an American put, how your calculations change? i. Calculate u,d, and p for a two-step tree. ii. Value the option using a two-step tree. Plot the tree