as 1o leves)come 4 Nio's current stock price is $200 per share. If the standard deviation of the continuously compounded returns (o) on Nio' stock is 50 percent per year. Suppose the risk free rate is 16% per year. A. Use one-step binomial tree to value a call option on Nio that expires in three months with exercise price of $220. B. Replicate the payoff of call option in part A using shares of stocks and borrowing. What is the amount of borrowing? C. Use one-step binomial tree to value a put option on Nio that expires in three month with exercise price of $180. D. (for bonus points) What is the hedge ratio of the put option in part C? E. (for bonus points) Replicate the payoff of put option in part C using short sellling of shares and lending. What is the amount of lending and what is the put option value? F. Use two step binomial tree to value a call option on Nio that expires in six-months with exercise price of $220. G. Use Black-Scholes model to value the same option in part F. dz = d, -ovt Oc = [N(d.)P]-[n(d,)~PV(EX)] as 1o leves)come 4 Nio's current stock price is $200 per share. If the standard deviation of the continuously compounded returns (o) on Nio' stock is 50 percent per year. Suppose the risk free rate is 16% per year. A. Use one-step binomial tree to value a call option on Nio that expires in three months with exercise price of $220. B. Replicate the payoff of call option in part A using shares of stocks and borrowing. What is the amount of borrowing? C. Use one-step binomial tree to value a put option on Nio that expires in three month with exercise price of $180. D. (for bonus points) What is the hedge ratio of the put option in part C? E. (for bonus points) Replicate the payoff of put option in part C using short sellling of shares and lending. What is the amount of lending and what is the put option value? F. Use two step binomial tree to value a call option on Nio that expires in six-months with exercise price of $220. G. Use Black-Scholes model to value the same option in part F. dz = d, -ovt Oc = [N(d.)P]-[n(d,)~PV(EX)]