Nio's current stock price is $200 per share. If the standard deviation of the continuously compounded returns () on Nio' stock is 50 percent per year. Suppose the risk free rate is 16% per year.

A. Use one-step binomial tree to value a call option on Nio that expires in three months with exercise price of $220.

B. Replicate the payoff of call option in part A using shares of stocks and borrowing. What is the amount of borrowing?

C. Use one-step binomial tree to value a put option on Nio that expires in three month with exercise price of $180.

D. (for bonus points) What is the hedge ratio of the put option in part C?

E. (for bonus points) Replicate the payoff of put option in part C using short sellling of shares and lending. What is the amount of lending and what is the put option value?

F. Use two step binomial tree to value a call option on Nio that expires in six-months with exercise price of $220.

G. Use Black-Scholes model to value the same option in part F.

ANSWER IN EXCEL PLEASE

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