Problem BIN-318B LR1711 We are given a three-period binomial tree for the price of a non-dividend-paying stock. With our usual notation, S(0) = $50 u = 1.02 The risk-neutralized probability: R = 1.0125 d = 0.96 T = The tree for S: 53.060 52.020 51.000 49.939) 50.000 48.960 48.000 47.002 46.080 44.237 t=0 t = 1 t = 2 t = 3 Complete the following binomial trees. (a) A security which pays [S(3)]2 in cash. 1,956.89 (b) A share-or-nothing call which expires at time 3, with strike K = 48 53.060 uuu (c) A security which pays max{12S(2) + 12S(3) - K,0} at time 3, where K = 48 (This is a call on the average of the last two prices.) 2.980 uud udu udd IT duu dud ddu ddd Problem BIN-318B LR1711 We are given a three-period binomial tree for the price of a non-dividend-paying stock. With our usual notation, S(0) = $50 u = 1.02 The risk-neutralized probability: R = 1.0125 d = 0.96 T = The tree for S: 53.060 52.020 51.000 49.939) 50.000 48.960 48.000 47.002 46.080 44.237 t=0 t = 1 t = 2 t = 3 Complete the following binomial trees. (a) A security which pays [S(3)]2 in cash. 1,956.89 (b) A share-or-nothing call which expires at time 3, with strike K = 48 53.060 uuu (c) A security which pays max{12S(2) + 12S(3) - K,0} at time 3, where K = 48 (This is a call on the average of the last two prices.) 2.980 uud udu udd IT duu dud ddu ddd