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.

1)The value of u is ____.

2)The value of d is ____.

3)The value of uS0 is ____.

4)The value of dS0 is ____.

5)The value of Cu is ____.

6)The value of Cd is ____.

7)The value of change(delta) c is ____.

8)The value of Bc is ____.

9)The price of a call option C, as determined by the Replicating Portfolio Method is ____.

10)The value of Pu is ____.

11)The value of Pd is ____.

12)The value of change(delta)p is ____.

13)The value of Bp is ____.

14)The probability P* for the call option is ____.

15)The probability P* for the put option is ____.

16)The price of a put option P, as determined by the Risk-Neutral Probability Method, is ____.