Question 3 We are using a two-step binomial tree to price a 6-month European put option with a strike price of $60. The current stock price is $50, the risk-free rate is 3% for all maturities. At each step, the price can increase or decrease by 20%. The continuously compounded dividend yield is 3%. What is the option price today? A. $12.8 B. $9.7 C. $13.9 D. $10.1 10 pts Question 8 The current price of AMZN is $94. What is the price of a 6-month call option with a strike price of $100, if the risk-free rate is 2.5% ? Note that AMZN does not pay dividends. The values of N(d1) and N(d2) are 44.96% and 36.74%, respectively. A. $5.98 B. $8.11 C. $7.13 D. $6.43 A trader takes a long position in a strap combination with ATM options that mature in 6 months (two calls and one put). The underlying is a non-dividend paying stock, currently at $200. The price of an ATM call and an ATM put are $15 and $12, receptively. What is the minimum positive return over the next 6 months that results in a positive profit for the trader? 20.5% 21.0% 10.0% 10.5% Question 10 An investor constructs the following strategies using puts and calls on AMZN at different strikes, but with the same maturity of 6 months. In which case does she have to pay a lower cost to construct the strategy? There are no arbitrage opportunities. AStraddle strateoy. where K is $100 B.Strangle strategy, where K1 is $95 and K2 is $105. C.Bear spread with puts, where K1 is $90 and K2 is $95 D.Straddle strategy, where K is $95