CASE 2. The current price of a stock is $77, the sigma is 0.20 and the continuously-compounded risk-free rate is 4%. The stock does not pay any dividends. We want to price a call and a put option with strike of 75 and three months to maturity on this stock. Using a one-step binomial tree method, the prices of call and put options are determined by C = c * S0 + Bc, and P = p * S0 + Bp, respectively. Express your numerical answers in four decimal places.

The value of u is ____. The value of d is ____. The value of uS0 is ____. The value of dS0 is ____. The value of Cu is ____. The value of Cd is ____. The value of c is ____. The value of Bc is ____. The price of a call option C, as determined by the Replicating Portfolio Method is ____. The value of Pu is ____. The value of Pd is ____. The value of p is ____. The value of Bp is ____. The probability P* for the call option is ____. The probability P* for the put option is ____. The price of a put option P, as determined by the Risk-Neutral Probability Method, is ____.

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