Question 4 (7 marks) A European-style exotic option on the TSX 300 index pays off max3STI S" 13,000;0] in one year if and only if S;- is lower than 14,000; where So and S;- are the index levels at time 0 and at the maturity date respectively. The TSX spot level is 13,280, its volatility is 35% and it is expected to pay no dividend. The risk-free rate is 4% per annum continuously compounded. Consider a 4-step binomial tree. (a) Calculate the tree parameters u, d and the risk-neutral probability p. (Up and down movements need to match the volatility. Keep 4 decimal digits). (2 marks) (b) What are the price and the delta of this exotic option? (3 marks) (0) What are the maximum prot, maximum loss and break-even point(s) for this exotic option? (2 marks)