Finance Department PART 2: A Binomial Problem Q1. The following diagram shows the construction of a 4-period binomial tree by matching the volatility with u and d. The option is European. Rounding your calculations to the nearest thousandth (1.e. 6.667). fill in the 16 blanks (20 Marks): 2 marks 2 marks Spot Price Strike Price Time to Maturity Volatility Interest Rate 50 u 45 1P 0.3 1.2 0.05 0.5036 91.158 19.058 2 marks 2 marks 78.449 67.545 0 67.512 0 Mark for each missing box in the tree n/a 58.128 0.933 -0.109 0 SO Spor Price Por Price Delta 50.024 1.903 -0.26 n/a 43.050 5.038 43.071 -0.611 8.346 -0.825 37.084 7.916 n/a 31.914 13.086 27.478 Finance Department PART 2: A Binomial Problem Q1. The following diagram shows the construction of a 4-period binomial tree by matching the volatility with u and d. The option is European. Rounding your calculations to the nearest thousandth (1.e. 6.667). fill in the 16 blanks (20 Marks): 2 marks 2 marks Spot Price Strike Price Time to Maturity Volatility Interest Rate 50 u 45 1P 0.3 1.2 0.05 0.5036 91.158 19.058 2 marks 2 marks 78.449 67.545 0 67.512 0 Mark for each missing box in the tree n/a 58.128 0.933 -0.109 0 SO Spor Price Por Price Delta 50.024 1.903 -0.26 n/a 43.050 5.038 43.071 -0.611 8.346 -0.825 37.084 7.916 n/a 31.914 13.086 27.478