The spot price of the stock is 46

The strike price of the option is 48

Based on the fact that the spot price, the strike price, and the continuously compounded risk-free interest rate are 6% per year, please conduct an option evaluation and answer the relevant questions according to the following instructions:

Binomial trees:

Additionally, assume that over each of the next two four-month periods, the share price is expected to go up by 11% or down by 10%.

a.Use a two-step binomial tree to calculate the value of an eight-month European call option using the no-arbitrage approach.

b.Use a two-step binomial tree to calculate the value of an eight-month European put option using the no-arbitrage approach.

c.Show whether the put-call-parity holds for the European call and the European put prices you calculated in a. and b.

d.Use a two-step binomial tree to calculate the value of an eight-month European call option using risk-neutral valuation.

e.Use a two-step binomial tree to calculate the value of an eight-month European put option using risk-neutral valuation.

f.Verify whether the no-arbitrage approach and the risk-neutral valuation lead to the same results.

g.Use a two-step binomial tree to calculate the value of an eight-month American put option.

h.Calculate the deltas of the European put and the European call at the different nodes of the binomial three.

When you use no-arbitrage arguments, can you show in detail how to set up the riskless portfolios at the different nodes of the binomial tree.

Can you use the correct formulas and steps, which will make it easier for me to understand, thank you!