A stock price is $100 now- In one-month, it can go 5% up or down. In the second month, it can go 5% up or down. And in the third month, it can go 5% up or down.

a) Construct a binomial tree for this stock (Show calculation/formula for each step). The annual interest rate is 10% with continuous compounding.

b) Use risk-free portfolios to calculate the value of a three- month European put with the strike price 101

c) Calculate the Delta at each node of the tree (Show clear steps and formula used)

d) Calculate the put value at each node of the tree (Show clear steps and formula used)