Indicate whether each of the following statements is TRUE or FALSE.

a. In a binomial tree to value an option where each step has a time period of h years: u/d = 2 * * SQRT(h)

b. In a three period binomial tree with continuous dividends, the number of nodes at expiration is 3.

c. If a one period binomial tree to value a European style call option with strike price K has a resulting premium of 0, this implies that K < dS.

d. Psi measures the change in price of the option for every 100bp change in the risk-free rate.

e. The Delta of a deep in the money written put option is close to 1.