calls and puts

Suppose that the price of the one-year zero-coupon bond follows a binomial tree. The current bond price is $925.21 for $1,000 par value, and the price will be either $946.51 (up state for the interest rate) or $955.78 (down state for the interest rate) six months from now. The six-month spot rate is 2.5% (risk-free). Consider a European put option on the bond with six months to expiration and a strike price of $950. 1) What should be the put option price according to the risk neutral pricing? 2) Construct a replicating portfolio that replicates the payoff of the put option at expiration using the one-year zero-coupon bond and the six-month zero-coupon bond. Suppose that the price of the one-year zero-coupon bond follows a binomial tree. The current bond price is $925.21 for $1,000 par value, and the price will be either $946.51 (up state for the interest rate) or $955.78 (down state for the interest rate) six months from now. The six-month spot rate is 2.5% (risk-free). Consider a European put option on the bond with six months to expiration and a strike price of $950. 1) What should be the put option price according to the risk neutral pricing? 2) Construct a replicating portfolio that replicates the payoff of the put option at expiration using the one-year zero-coupon bond and the six-month zero-coupon bond