The risk-free rate is 5%, and an underlying stock has a spot price of $100 and volatility of 15%. (a) Using a binomial tree with 4 steps, show that the value of a compound option, in this case a call on a put, is $1.62. The put option has a strike price of $100 and a maturity of 2 years. The call on the put option has a strike of $4 and a maturity of 1 year. (b) Find the Delta and Gamma of this compound option using the same binomial tree. The risk-free rate is 5%, and an underlying stock has a spot price of $100 and volatility of 15%. (a) Using a binomial tree with 4 steps, show that the value of a compound option, in this case a call on a put, is $1.62. The put option has a strike price of $100 and a maturity of 2 years. The call on the put option has a strike of $4 and a maturity of 1 year. (b) Find the Delta and Gamma of this compound option using the same binomial tree