Problem #1: Consider a European call option on a stock, with a $18 strike and 1-year to expiration. The stock has a continuous (5 marias] dividend yield of 0%, and its current price is $70. Suppose the volatility of the stock is 17%. The continuously compounded risk-free interest rate is 9%. Use a one-period binomial tree to calculate the following: (a) The payoff for up movement. (b) The payoff for down movement. (e) The corresponding replicating portfolio: The number of shares. (d) The corresponding replicating portfolio: The lent/borrowed amount. (e) The option premium. (A) 74.79 (B) 72.79 (C) 75.79 (D)*73.79 (E) 76.79 Problem 1(a): Select t Part (a) choices (A) 46.62 (B) 48.62 (C) 50.62 (D) 49.62 (E) 47.62 Problem 1(b) Select Part (b) choices (A) 0.00 (B) 2.00 (C) 3.00 (D) 1.00 (E)-1.00 Problem 100 Select t Part (c) choices (A) -14 A5 (B) -1545 (C) -16.45 (D) -18.45 (E) -17.45 Problem #10 Select Part (d) choices (A) 55.55 (B) 56.55 (C) 57.55 (D) 53.55 (E) 54.55 Problem wies Select Parte) choices Problem #1: Consider a European call option on a stock, with a $18 strike and 1-year to expiration. The stock has a continuous (5 marias] dividend yield of 0%, and its current price is $70. Suppose the volatility of the stock is 17%. The continuously compounded risk-free interest rate is 9%. Use a one-period binomial tree to calculate the following: (a) The payoff for up movement. (b) The payoff for down movement. (e) The corresponding replicating portfolio: The number of shares. (d) The corresponding replicating portfolio: The lent/borrowed amount. (e) The option premium. (A) 74.79 (B) 72.79 (C) 75.79 (D)*73.79 (E) 76.79 Problem 1(a): Select t Part (a) choices (A) 46.62 (B) 48.62 (C) 50.62 (D) 49.62 (E) 47.62 Problem 1(b) Select Part (b) choices (A) 0.00 (B) 2.00 (C) 3.00 (D) 1.00 (E)-1.00 Problem 100 Select t Part (c) choices (A) -14 A5 (B) -1545 (C) -16.45 (D) -18.45 (E) -17.45 Problem #10 Select Part (d) choices (A) 55.55 (B) 56.55 (C) 57.55 (D) 53.55 (E) 54.55 Problem wies Select Parte) choices