Consider a put on a call compound option, where P, has a expiry date Ti = 1 and exercise price E1 = 20 and C has an expiry date T2 = 3 and exercise price E2 = 90. (0) What is the pay-off function of this compound option at its expiry date? (i) Does the value function of this compound option fulfill the Black-Scholes equation? (ii) Assume that the current (at 1 = 0) price of the underlying is S(O) = 100. Apply the binomial method to determine the value of P at time t = 0. Use a time step of 8t = 1. The interest rate is r=0.05. Consider the case of p=1/2 and suppose the volatility is such that u=1.26 and d=0.84. Consider a put on a call compound option, where P, has a expiry date Ti = 1 and exercise price E1 = 20 and C has an expiry date T2 = 3 and exercise price E2 = 90. (0) What is the pay-off function of this compound option at its expiry date? (i) Does the value function of this compound option fulfill the Black-Scholes equation? (ii) Assume that the current (at 1 = 0) price of the underlying is S(O) = 100. Apply the binomial method to determine the value of P at time t = 0. Use a time step of 8t = 1. The interest rate is r=0.05. Consider the case of p=1/2 and suppose the volatility is such that u=1.26 and d=0.84