Problem 1 (12 points): Consider a stock with current price S=100 and standard deviation of annual returns o=20%. Stock does not pay any dividends. Consider a 1-year European put option on this stock with strike price of $102. The risk-free interest rate is 9%. When needed, use Cox-Ross-Rubenstein method for determining u and d (see Ch 13 Power Point slides) a) (3 points) Find the value of this option using 2-step binomial option pricing model. b) (3 points) Find the value of this option using 10-step binomial option pricing model. c) (3 points) Find the value of this option using 20-step binomial option pricing model d) (3 points) Using Excel or any other methods (except option price calculators), find the value of this option using Black-Scholes model. Problem 1 (12 points): Consider a stock with current price S=100 and standard deviation of annual returns o=20%. Stock does not pay any dividends. Consider a 1-year European put option on this stock with strike price of $102. The risk-free interest rate is 9%. When needed, use Cox-Ross-Rubenstein method for determining u and d (see Ch 13 Power Point slides) a) (3 points) Find the value of this option using 2-step binomial option pricing model. b) (3 points) Find the value of this option using 10-step binomial option pricing model. c) (3 points) Find the value of this option using 20-step binomial option pricing model d) (3 points) Using Excel or any other methods (except option price calculators), find the value of this option using Black-Scholes model