The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European call option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 8%.

a. What is the option price when u=1.1 and d=0.9 using risk neutral valuation?

b. Verify that using the delta hedging method.

c.Why delta is different at each node?