Problem 1. We are given an one-step binomial model with A(0)=10,A(1)=20,S(0)=100 and S(1)=210 with probability 0.5 and S(1)=90 with probability 0.5. S(t) represents the stock price, and A(t) is the bond price at time t{0,1}. (a) (10 points) Assuming no arbitrage exists, find the price C(0) of a call option with strike price K=100, maturity date T=1. (b) (10 points) Find an arbitrage opportunity in the given model if the option price is C(0)=15. Problem 1. We are given an one-step binomial model with A(0)=10,A(1)=20,S(0)=100 and S(1)=210 with probability 0.5 and S(1)=90 with probability 0.5. S(t) represents the stock price, and A(t) is the bond price at time t{0,1}. (a) (10 points) Assuming no arbitrage exists, find the price C(0) of a call option with strike price K=100, maturity date T=1. (b) (10 points) Find an arbitrage opportunity in the given model if the option price is C(0)=15