: Consider a European call option on a stock, with a $26 strike and 1-year to expiration. The stock has a continuous dividend yield of 0%, and its current price is $63. Suppose the volatility of the stock is 29%. The continuously compounded risk-free interest rate is 2% and the continuously compounded return is a = 17%. Use a one-period binomial tree to calculate the following: (a) The payoff for up movement. (b) The payoff for down movement. (c) The corresponding replicating portfolio: The number of shares. (d) The corresponding replicating portfolio: The lent/borrowed amount. (e) The option premium. (f) The true probability of the stock going up- (9) The actual expected payoff of the option. (h) The appropriate per-period discount rate 7. (A) 58.90 (B) 59.90 (C) 56.90 (D) 57.90 (E) 55.90 (a): Select 1 Part (a) choices. (A) 24.09 (B) 25.09 (C) 22.09 (D) 23.09 (E) 26.09 (b): Select Part (b) choices. (A) 1.00 (B) -0.00 (C) -1.00 (D) 2.00 (E) 3.00 (c): Select Part (c) choices. (A)-27.49 (B) -25.49 (C) -29.49 (D) -26.49 (E) -28.49 (d): Select Part (d) choices. (A) 36.51 (B) 33.51 (C) 34.51 (D) 35.51 (E) 37.51 -(e): Select I Part (e) choices. (A) 0.71 (B) 0.69 (C) 0.67 (D) 0.68 (E) 0.70 (f): Select Part (f) choices. (A) 51.67 (B) 52.67 (C) 48.67 (D) 49.67 (E) 50.67 (9): Select Part (g) choices. (A) 0.29 (B) 0.28 (C) 0.26 (D) 0.27 (E) 0.30 (h): Select 1 Part (h) choices. : Consider a European call option on a stock, with a $26 strike and 1-year to expiration. The stock has a continuous dividend yield of 0%, and its current price is $63. Suppose the volatility of the stock is 29%. The continuously compounded risk-free interest rate is 2% and the continuously compounded return is a = 17%. Use a one-period binomial tree to calculate the following: (a) The payoff for up movement. (b) The payoff for down movement. (c) The corresponding replicating portfolio: The number of shares. (d) The corresponding replicating portfolio: The lent/borrowed amount. (e) The option premium. (f) The true probability of the stock going up- (9) The actual expected payoff of the option. (h) The appropriate per-period discount rate 7. (A) 58.90 (B) 59.90 (C) 56.90 (D) 57.90 (E) 55.90 (a): Select 1 Part (a) choices. (A) 24.09 (B) 25.09 (C) 22.09 (D) 23.09 (E) 26.09 (b): Select Part (b) choices. (A) 1.00 (B) -0.00 (C) -1.00 (D) 2.00 (E) 3.00 (c): Select Part (c) choices. (A)-27.49 (B) -25.49 (C) -29.49 (D) -26.49 (E) -28.49 (d): Select Part (d) choices. (A) 36.51 (B) 33.51 (C) 34.51 (D) 35.51 (E) 37.51 -(e): Select I Part (e) choices. (A) 0.71 (B) 0.69 (C) 0.67 (D) 0.68 (E) 0.70 (f): Select Part (f) choices. (A) 51.67 (B) 52.67 (C) 48.67 (D) 49.67 (E) 50.67 (9): Select Part (g) choices. (A) 0.29 (B) 0.28 (C) 0.26 (D) 0.27 (E) 0.30 (h): Select 1 Part (h) choices