Project 2: Derivatives Guideline: In the end, you must submit (1) Project Report(.pdf) and (2) Programming codes(.pdf) as deliverables. [ Binomial Trees Let So is the current price of the underlying asset; K is the strike price; r is the risk-free rate; o is the volatility of the underlying asset; and At =T/N where T is the time to maturity and N is the member of periods in the model. Show (1) the corresponding binomial tree (in forms of matrix) and (2) the price of the following options based on the binomial option pricing model. 1. European call option (So = 70, K = 60, T = 10. r = 0.05, a = 0.2, N = 10) 2. American call option (So = 70, K = 60, T = 10, r = 0.05, o = 0.2, N = 10) 3. European put option (S6 = 100, K = 95, T = 5, r=0.04, 0 = 0.1, N = 10) 4. American put option (S6 = 100, K = 95, T = 5, r = 0.04, 0 = 0.1, N = 10) (Black-Scholes-Merton Model] Using the same set-up as above, find the prices of European call and put options based on the Black-Scholes- Merton model and compare the results against those of binomial trees. Project 2: Derivatives Guideline: In the end, you must submit (1) Project Report(.pdf) and (2) Programming codes(.pdf) as deliverables. [ Binomial Trees Let So is the current price of the underlying asset; K is the strike price; r is the risk-free rate; o is the volatility of the underlying asset; and At =T/N where T is the time to maturity and N is the member of periods in the model. Show (1) the corresponding binomial tree (in forms of matrix) and (2) the price of the following options based on the binomial option pricing model. 1. European call option (So = 70, K = 60, T = 10. r = 0.05, a = 0.2, N = 10) 2. American call option (So = 70, K = 60, T = 10, r = 0.05, o = 0.2, N = 10) 3. European put option (S6 = 100, K = 95, T = 5, r=0.04, 0 = 0.1, N = 10) 4. American put option (S6 = 100, K = 95, T = 5, r = 0.04, 0 = 0.1, N = 10) (Black-Scholes-Merton Model] Using the same set-up as above, find the prices of European call and put options based on the Black-Scholes- Merton model and compare the results against those of binomial trees