Question 2 a) What is the price of an American-style call option assuming a 4% annual risk-free rate, a strike price = $150, and 3 years to maturity. In each year the price can either rise by a factor of 1.3 or fall by a factor of 0.9. The current price of the underlying asset is $100 and it pays no dividends. (4 marks) b) Why is the price in part a different than you would get from inputting a 10% drift and 20% volatility into the Black Scholes equation? (2 marks) c) What would be the price of an American-style put option on the same stock with the same maturity as in part a above? (4 marks) Question 2 a) What is the price of an American-style call option assuming a 4% annual risk-free rate, a strike price = $150, and 3 years to maturity. In each year the price can either rise by a factor of 1.3 or fall by a factor of 0.9. The current price of the underlying asset is $100 and it pays no dividends. (4 marks) b) Why is the price in part a different than you would get from inputting a 10% drift and 20% volatility into the Black Scholes equation? (2 marks) c) What would be the price of an American-style put option on the same stock with the same maturity as in part a above? (4 marks)