The current price of a non-dividend-paying biotech stock is $140 with a volatility of 25%. The risk-free rate is 4%. For a 3-month time step:

(a) What is the percentage up movement? (b) What is the percentage down movement?

(c) What is the probability of an up movement in a risk-neutral world?

(d) What is the probability of a down movement in a risk-neutral world? Use a two-step tree to value a 6-month European call option and a 6-month European put option. In both cases the strike price is $150.