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Consider a European call option on a stock, with a $12 strike and 1-year to expiration. The stock has a continuous dividend yield of 0%, and its current price is $60. Suppose the volatility of the stock is 13%. The continuously compounded risk-free interest rate is 5%. Use a one-period binomial tree to calculate the following: (a) The payoff for up movement. (b) The payoff for down movement. (c) The corresponding replicating portfolio: The number of shares. (d) The corresponding replicating portfolio: The lent/borrowed amount. (e) The option premium. (A) 58.83 (B) 55.83 (C) 56.83 (D) 59.83 (E) 57.83 e): Select Part () choices. (A) 45.39 (B) 47.39 (C) 44.39 (D) 43.39 (E) 46.39 : Select 1 Part (b) choices. (A)-1.00 (B)1.00 (C) -2.00 (D) 0.00 (E) -3.00 =): Select 1 Part (c) choices. (A) -10 41 (B)-1441 (C) -13.41 (D)-11.41 (E)-1241 9): Select 1 Part (d) choices. (A) 44.59 (B) 46.59 (C) 45.59 (D) 48.59 (E) 47.59 e): Select 1 Part (e) choices -: (Problem #1 Continued) Now, suppose that the continuously compounded return is a = 15%. Find the following: (a) The true probability of the stock going up. (b) The actual expected payoff of the option. (c) The appropriate per-period discount rate y. (A) 0.81 (B) 0.85 (C) 0.79 (D) 0.87 (E) 0.83 a): Select 1 Part (a) choices. (A) 55.71 (B) 57.71 (C) 54.71 (D) 56.71 (E) 53.71 b): Select f Part (b) choices. (A) 0.19 (B) 0.21 (C) 0.23 (D) 0.17 (E) 0.25