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:

Doubling the volatility will double the price of an at the money call option.

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interest rate 0.00000 Euro Call 5.29889 dividend rate 0.00000 Euro Put 5.29889 expiry h 0.50000 0.12500 American Call 5.29889 American Put 5.29889 S 100.00000 sigma 0.20000 u 1.07327 d 0.93173 P 0.48233 1-p 0.51767 Stock 100.00000 107.32707 93.17314 115.19099 100.00000 86.81234 123.63111 132.68964 107.32707 115.19099 93.17314 100.00000 80.88579 86.81234 75.36383 Probability 1.00000 0.48233 0.51767 0.23264 0.49938 0.11221 0.05412 0.36130 0.23235 0.26798 0.38777 0.37406 0.13873 0.26765 0.07181 Euro Call Strike 100.00000 5.29889 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 American Call Strike 100.00000 Euro Put Strike 100.00000 5.29889 1.82948 0.00000 0.00000 0.00000 8.53144 3.53406 0.00000 0.00000 13.18766 6.82686 0.00000 19.11421 13.18766 24.63617 American Put Strike 100.00000 5.29889 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 5.29889 1.82948 0.00000 0.00000 0.00000 8.53144 3.53406 0.00000 0.00000 13.18766 6.82686 0.00000 19.11421 13.18766 24.63617 interest rate 0.00000 Euro Call 5.29889 dividend rate 0.00000 Euro Put 5.29889 expiry h 0.50000 0.12500 American Call 5.29889 American Put 5.29889 S 100.00000 sigma 0.20000 u 1.07327 d 0.93173 P 0.48233 1-p 0.51767 Stock 100.00000 107.32707 93.17314 115.19099 100.00000 86.81234 123.63111 132.68964 107.32707 115.19099 93.17314 100.00000 80.88579 86.81234 75.36383 Probability 1.00000 0.48233 0.51767 0.23264 0.49938 0.11221 0.05412 0.36130 0.23235 0.26798 0.38777 0.37406 0.13873 0.26765 0.07181 Euro Call Strike 100.00000 5.29889 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 American Call Strike 100.00000 Euro Put Strike 100.00000 5.29889 1.82948 0.00000 0.00000 0.00000 8.53144 3.53406 0.00000 0.00000 13.18766 6.82686 0.00000 19.11421 13.18766 24.63617 American Put Strike 100.00000 5.29889 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 5.29889 1.82948 0.00000 0.00000 0.00000 8.53144 3.53406 0.00000 0.00000 13.18766 6.82686 0.00000 19.11421 13.18766 24.63617