After 1 year Today 120.773898 100 89.47150422 11. The figure above shows a single period binomial model for a stock. Assume there is a call option on the stock that matures after 1 year. If you invest 1 dollar in the risk-free asset, you will receive 1.051271096. a. What is the up factor u? b. What is the down factor d? C. What is the one-year risk-free rate with continuous compounding? d. Given the preceding data, set up a riskless portfolio and compute the call option price. e. Using the risk-neutral valuation, calculate the call option's value. f. Suppose the market price of the call option is $6. Is there an arbitrage opportunity? Show how you can take advantage of this price to make arbitrage profits. g. Set up a perfect hedge and compute the put option's value. Let the put have the same strike price K = $105. h. What is delta of the call and put options? After 1 year Today 120.773898 100 89.47150422 11. The figure above shows a single period binomial model for a stock. Assume there is a call option on the stock that matures after 1 year. If you invest 1 dollar in the risk-free asset, you will receive 1.051271096. a. What is the up factor u? b. What is the down factor d? C. What is the one-year risk-free rate with continuous compounding? d. Given the preceding data, set up a riskless portfolio and compute the call option price. e. Using the risk-neutral valuation, calculate the call option's value. f. Suppose the market price of the call option is $6. Is there an arbitrage opportunity? Show how you can take advantage of this price to make arbitrage profits. g. Set up a perfect hedge and compute the put option's value. Let the put have the same strike price K = $105. h. What is delta of the call and put options