create a 4 step binomial tree model by replacing all the cells highlighted in yellow with the appropriate formula. (The cells highlighted in green are the inputs.)

Use your completed spreadsheet to answer the following question:

True/False: Doubling the volatility will double the price of an at the money call option.

F G H I J K L M N O P Q R A interest rate dividend rate expiry h S Sigma u d Euro Call Euro Put American Call American Put 1 2 3 4 5 6 7 8 5.29889 5.29889 5.29889 5.29889 0.00000 0.00000 0.50000 0.12500 100.00000 0.20000 1.07327 0.93173 0.48233 0.51767 10 1-0 Stock Euro Call Strike 100.00000 Euro Put Strike 100.00000 100.00000 107.32707 93.17314 5.29889 5.29889 115.19099 100.00000 86.81234 1.82948 8.53144 123.63111 132.68964 107.32707 115.19099 93.17314 100.00000 80.88579 86.81234 75.36383 9.15654 15.19099 23.63111 32.68964 1.70458 3.53406 7.32707 15.19099 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 3.53406 13.18766 0.00000 0.00000 6.82686 19.11421 0.00000 0.00000 0.00000 13.18766 24.63617 American Call Strike 100.00000 American Put Strike 100.00000 5.29889 1.82948 8.53144 5.298899.15654 15.19099 23.63111 32.68964 1.70458 3.53406 7.32707 15.19099 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 3.53406 13.18766 0.00000 0.00000 0.00000 0.00000 6.82686 0.00000 19.11421 13.18766 24.63617 Probability 1.00000 0.48233 0.51767 0.23264 0.49938 0.26798 0.11221 0.36130 0.38777 0.13873 0.05412 0.23235 0.37406 0.26765 0.07181