Su 10) The current stock price is $25. It is known that at the end of two-months it will be either $26.5 or a) U s24. The risk free rate interest rate is 10% per annum with continuous compounding a) Consider a two-month European call option with a strike price of $24.5. Write the stock prices and option pay-offs on the following binomial tree (5 points) So- 25 b) L The 6) S a) t b) What position in the stock is necessary to hedge a short position in 1 call option? (a.k.a Delta) (4 points) b) U u-53 7) C the s a)W c) Find the value of the call option using no-arbitrage set-up (i.e., use delta you have calculated in part b, Alternative solution will NOT be accepted)? (5 points) b)Y If y 12