Problem #5: Consider an American call option on a stock, with a $35 strike and 1-year to expiration. The stock has a continuous dividend yield of 10%, and its current price is $77. Suppose the volatility of the stock is 19%. The continuously compounded risk-free interest rate is 7%. Use a three-period binomial tree to calculate the following: (8) The payoff at time 2: Up movement. (b) The payoff at time 2: Middle movement. (e) The payoff at time 2: Down movement. (d) The payoff at time 1: Up movement. (e) The payoff at time 1: Down movement. ( The option cost at time 0. (A) 55.99 (B) 56.99 (C) 57.99 (D) 58.99 (E) 59.99 Problem #5(a): Select t Part (a) choices. (A) 36.48 (B) 38.48 (C) 40.48 (D) 39.48 (E) 37.48. Problem 5(b): Select t Part (b) choices (A) 23.61 (B) 24.61 (C) 25.61 (D) 22.61 (E) 26.61 Problem 5(c): Select Part (c) choices. (A) 52.07 (B) 48.07 (C) 51.07 (D) 50.07 (E) 49.07 Problem 5(d): Select t Part (d) choices (A) 31.31 (B) 33.31 (C)34.31 (D) 32.31 (E) 35.31 Problem 5(e): Select t Part (e) choices (A) 46.00 (B) 44.00 (C) 45.00 (D) 43.00 (E) 42.00 Problem #506): Select 1 Part (t) choices Problem #5: Consider an American call option on a stock, with a $35 strike and 1-year to expiration. The stock has a continuous dividend yield of 10%, and its current price is $77. Suppose the volatility of the stock is 19%. The continuously compounded risk-free interest rate is 7%. Use a three-period binomial tree to calculate the following: (8) The payoff at time 2: Up movement. (b) The payoff at time 2: Middle movement. (e) The payoff at time 2: Down movement. (d) The payoff at time 1: Up movement. (e) The payoff at time 1: Down movement. ( The option cost at time 0. (A) 55.99 (B) 56.99 (C) 57.99 (D) 58.99 (E) 59.99 Problem #5(a): Select t Part (a) choices. (A) 36.48 (B) 38.48 (C) 40.48 (D) 39.48 (E) 37.48. Problem 5(b): Select t Part (b) choices (A) 23.61 (B) 24.61 (C) 25.61 (D) 22.61 (E) 26.61 Problem 5(c): Select Part (c) choices. (A) 52.07 (B) 48.07 (C) 51.07 (D) 50.07 (E) 49.07 Problem 5(d): Select t Part (d) choices (A) 31.31 (B) 33.31 (C)34.31 (D) 32.31 (E) 35.31 Problem 5(e): Select t Part (e) choices (A) 46.00 (B) 44.00 (C) 45.00 (D) 43.00 (E) 42.00 Problem #506): Select 1 Part (t) choices