As a financial analyst at JP Morgan, you are applying a 2 step binomial option model to find the values for a call option. A stock price is currently $35. Over each of the next two three-month periods it is expected to go up by 6% or down by 5%. The risk-free interest rate is 5% per annum with continuous compounding. You want to determine the value of a six-month European Call option with a strike price of $35. Please keep two decimal places

a )What is the stock value at node B? (sample answer: $55.65)

b )What is the stock value at node D? (sample answer: $55.65)

c)What is the stock value at node E? (sample answer: $55.65)

d)What is the option payoff at node D? (sample answer: $55.65)

e)What is the option payoff at node E? (sample answer: $55.65)

f)What is the option payoff at node F? (sample answer: $55.65)

g)What is the three month risk neutral probability? (sample answer: 55.65%)

h)What is the option value at node B? (sample answer: $55.65)

i)What is the option value at node A? (sample answer: $55.65)