Today's price of Capital One Financial Corporation (COF) is $50. COF does not pay dividends. One year from today, there are two possible states. In the u state, the price of COF is $100. In the d state, the price of COF is $25. The c.c. risk-free interest rate is zero percent. Assume there is no arbitrage. A power derivative has payoffs X = S and XS. What is the price of a power derivative on COF?

Today's price of Capital One Financial Corporation (COF) is $50. COF does not pay dividends. One year from today, there are two possible states. In the u state, the price of COF is $100. In the d state, the price of COF is $25. The c.c. risk-free interest rate is zero percent. Assume there is no arbitrage. A power derivative has payoffs Xu=Su2 and Xd=Sd2. What is the price of a power derivative on COF