IN EXCEL

$3$ Step Binomial Options Model

Perform a $3-$Step Binomial Model to compute the following Call Option:

$3$ Month Call Option with a strike price $=$$$30\mathrm{.}50$

Initial Stock Price is $$30$

$3$ Steps will be used in this model. $[$This means each step will be $1$ month.$]$

In each step, the factor for the up position, $u=1\mathrm{.}03$ and the factor for the down position is $d=0\mathrm{.}97$

The annualized $1-$month spot rate $(r_{\frac{1}{12}})=0\mathrm{.}01$& fwd will need forward rat

The annualized $2-$month spot rate $(r_{\frac{2}{12}})=0\mathrm{.}02$ rate

The annualized $3-$month spot rate $(r_{\frac{3}{12}})=0\mathrm{.}01$

convert these