Consider a European Put option within a binomial tree model. The Put expires in 5 months and has a strike K = 100. Today's stock price is S₀ = 100, the interest rate r = 0.07, the dividend yield is = 0.02 and the volatility is = 0.3 (all monthly).

Using a binomial tree with step h is 1 month, find the replicating portfolios of this Put for all tree nodes at t = 4 months. Put your answers into a little table listing possible values of S(4), the corresponding stock position and the corresponding bank position. Sketch the resulting Delta and Bank account positions as a function of S(4).

Note: the full tree is very BIG but you don't need to compute it. Just asking about the nodes at t = 4.