Assume a stock with current price So = $400 which follows a two-period binomial model with r = 5%, u = 1.15, d = 0.9, p = 0.6. Let Ct denote value of a European call option on this stock with expiry time T = 2 and strike price K = 450. let the sample space be 12 = = {UU,UD, DU, DD}. (a) Write the filtration generated by the stock price process {St: t = 0,1, 2}. (b) Write the filtration generated by the option price process {Ctit = 0,1,2}. (c) Describe the random variable E(C2|S]. (Values and the probability mass function.) (d) Describe the random variable E[S1C2). (Values and the probability mass function.) Assume a stock with current price So = $400 which follows a two-period binomial model with r = 5%, u = 1.15, d = 0.9, p = 0.6. Let Ct denote value of a European call option on this stock with expiry time T = 2 and strike price K = 450. let the sample space be 12 = = {UU,UD, DU, DD}. (a) Write the filtration generated by the stock price process {St: t = 0,1, 2}. (b) Write the filtration generated by the option price process {Ctit = 0,1,2}. (c) Describe the random variable E(C2|S]. (Values and the probability mass function.) (d) Describe the random variable E[S1C2). (Values and the probability mass function.)