Consider a stock with current price S=100 and standard deviation of annual returns =20%. Consider a 1-year European call option on this stock with strike price of $95. The risk-free interest rate is 6%

a) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model. Hand-write your entire solution (use of calculators are allowed)

b) Using Excel, find the value of this option using Cox-Ross-Rubenstein 5-step binomial option pricing model.

c) Using Excel, find the value of this option using Cox-Ross-Rubenstein 10-step binomial option pricing model.

d) Using Excel or any other methods (except option price calculators), find the value of this option using Black-Scholes model