A stock price is currently So = $120. Over each of the next two 6-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 5% per annum with continuous compounding, (a) Compute the 6-months risk-less rate for simple compounding. (b) Calculate p*, the risk-neutral probability for an up-tick of the stock within 6 months. (c) What is the fair price at t = 0 of an at-the-money European Put option expiring in T = 1 year? (d) Determine the replicating portfolio, in terms of shares of stock held at each time. (e) An Asian option on the underlying (S.Dosist pays So+SI+S2 -K)+ 3 upon maturity T = 1, where K = So is the strike. What is the value of this option at t=0? A stock price is currently So = $120. Over each of the next two 6-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 5% per annum with continuous compounding, (a) Compute the 6-months risk-less rate for simple compounding. (b) Calculate p*, the risk-neutral probability for an up-tick of the stock within 6 months. (c) What is the fair price at t = 0 of an at-the-money European Put option expiring in T = 1 year? (d) Determine the replicating portfolio, in terms of shares of stock held at each time. (e) An Asian option on the underlying (S.Dosist pays So+SI+S2 -K)+ 3 upon maturity T = 1, where K = So is the strike. What is the value of this option at t=0