PLEASE USE EXCEL TO ANSWER THE QUESTIONS

11. Consider a one-period binomial model with the parameters u = 1.05, d = 0.95, and r=1.01. Let the initial stock price be S = 100. (a) Identify the price and delta of a call with strike K = 100. (b) Repeat this exercise for K = 96, K = 98, K = 102, and K = 104. () Use put-call parity to identify the value of the corresponding put options and the pa deltas. On a