Need help with c),d), e), f) (just ignore the 123456)

1. Suppose a stock is currently trading at 100, and each of the next two periods will either go up by 35% or down by 25%. The stock pays no dividends. The simple one-period risk-free rate is 5%.

   1. (a) What is the price of a two-period ATM European call written on the stock?

   2. (b) Draw the price tree for the two-period call struck at 110.

   3. (c) What is the replicating portfolio for the call in part (b), at initiation, and at both the up- and down-nodes?

   4. (d) How would your answer to part (b) change if the option was American? Justify!

   5. (e) Draw the price trees for the two-period European puts struck at 90 and 95.

   6. (f) Would your answer to the previous part (the OTM puts) change if the options were American? Justify!