A tree is constructed to value an option on an index which is currently worth 100 and has a volatility

of 25%. The index provides a dividend yield of 2%. Another tree is constructed to value an option on

a non-dividend-paying stock which is currently worth 100 and has a volatility of 25%.

A) The parameters p and u are the same for both trees

B) The parameter p is the same for both trees but u is not

C) The parameter u is the same for both trees but p is not

D) None of the above