Suppose the annual volatility of a certain stock is = 0.38. They want to broadcast certain options on said stock with an expiration date of two months. If the price of asset today is $100, the strike is $95 and the risk-free rate is 0.055, calculate the following:

Suppose the annual volatility of a certain stock is =0.38. They want to broadcast certain options on said stock with an expiration date of two months. If the price of asset today is $100, the strike is $95 and the risk-free rate is 0.055 , calculate the following: - a) The price of a European call today with a 40 period tree. The calculation of the required parameters is given by u=et,d=et and q=0,5t(42r) - b) The price of the 'call' with the Black-Scholes formula, that is, C(St,Tt,K,r,)=S0(d1)Ker(Tt)(d2) where d1=Ttln(KS)+(r+0,52)(Tt) and d2=d1Tt - c) The price of a "put" but with K=110 - d) The "put' price with the Black-Scholes formula, that is, P(St,Tt,K,r,)=S0(d1)+Ker(Tt)(d2) - e) How good was the binomial approximation