GE corporation is a non-dividend paying stock that is currently priced at $89. An analyst has determined that the annual standard deviation of returns on GE stock is 42.7% and that the annual risk-free interest rate on a continuously compounded basis is 3.5%. All of the following options on GE have nine months until expiration. Do not round your intermediate calculations.

What is the percentage up movement for a two-step binomial model?

What is the percentage down movement for a two-step binomial model?

What is the probability of an up movement in a risk-neutral world for a two-step binomial model?

What is the probability of a down movement in a risk-neutral world for a two-step binomial model?

Calculate the value of a European call option on GE stock with a strike price of $80 using a two-step binomial model

Calculate the value of an American put option on GE stock with a strike price of $100 using a two-step binomial model