Consider a European call option on a stock, with a $19 strike and 1-year to expiration. The stock has a continuous dividend yield of 0%, and its current price is $58. Suppose the volatility of the stock is 28%. The continuously compounded risk-free interest rate is 8% and the continuously compounded return is a = 14%. 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. (1) The true probability of the stock going up. (g) The actual expected payoff of the option. (h) The appropriate per period discount rate y (A) 66.13 (B) 64.13 (C) 62.13 (D) 65.13 (E) 63.13 : Select 1 Part (a) choices (A) 30.49 (B) 28.49 (C) 26.49 (D) 29.49 (E) 27.49 ) Select t Part (b) choices (A) 3.00 (B) 4.00 (C) 1.00 (D) 2.00 (E) 0.00 Select t Part (c) choices (A) -15.54 (B) -16.54 (C) -14.54 (D) -18.54 (E)-17.54 (A) 66.13 (B) 64.13 (C) 62.13 (D) 65.13(E) 63.13 Problem #7(6): Select t Part (a) choices. (A) 30.49 (B) 28.49 (C) 26.49 (D) 29.49 (E) 27.49 Problem #7(b): Select v Part (b) choices. (A) 3.00 (B) 4.00 (C) 1.00 (D) 2.00 (E) 0.00 Problem #70): Select 1 Part (c) choices. (A) -15.54 (B) -16.54 (C) -14.54 (D) -18.54 (E)-17.54 Problem #7(d): Select v t Part (d) choices, (A) 42.46 (B) 41.46 (C) 40.46 (D) 39.46 (E) 38.46 Problem #7(e): Select t Part (e) choices. (A) 0.54 (B) 0.57 (C) 0.55 (D) 0.56 (E) 0.53 Problem #700: Select 1 Part (1) cho ces. (A) 46.72 (B) 47.72 (C) 45.72 (D) 44.72 (E) 48.72 Problem +7(9) Select t Part (9) choices (A) 0.13 (B) 0.17 (C) 0.14 (D) 0.15 (E) 0.16 Problem 7(h): Select t Part (h) choices Consider a European call option on a stock, with a $19 strike and 1-year to expiration. The stock has a continuous dividend yield of 0%, and its current price is $58. Suppose the volatility of the stock is 28%. The continuously compounded risk-free interest rate is 8% and the continuously compounded return is a = 14%. 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. (1) The true probability of the stock going up. (g) The actual expected payoff of the option. (h) The appropriate per period discount rate y (A) 66.13 (B) 64.13 (C) 62.13 (D) 65.13 (E) 63.13 : Select 1 Part (a) choices (A) 30.49 (B) 28.49 (C) 26.49 (D) 29.49 (E) 27.49 ) Select t Part (b) choices (A) 3.00 (B) 4.00 (C) 1.00 (D) 2.00 (E) 0.00 Select t Part (c) choices (A) -15.54 (B) -16.54 (C) -14.54 (D) -18.54 (E)-17.54 (A) 66.13 (B) 64.13 (C) 62.13 (D) 65.13(E) 63.13 Problem #7(6): Select t Part (a) choices. (A) 30.49 (B) 28.49 (C) 26.49 (D) 29.49 (E) 27.49 Problem #7(b): Select v Part (b) choices. (A) 3.00 (B) 4.00 (C) 1.00 (D) 2.00 (E) 0.00 Problem #70): Select 1 Part (c) choices. (A) -15.54 (B) -16.54 (C) -14.54 (D) -18.54 (E)-17.54 Problem #7(d): Select v t Part (d) choices, (A) 42.46 (B) 41.46 (C) 40.46 (D) 39.46 (E) 38.46 Problem #7(e): Select t Part (e) choices. (A) 0.54 (B) 0.57 (C) 0.55 (D) 0.56 (E) 0.53 Problem #700: Select 1 Part (1) cho ces. (A) 46.72 (B) 47.72 (C) 45.72 (D) 44.72 (E) 48.72 Problem +7(9) Select t Part (9) choices (A) 0.13 (B) 0.17 (C) 0.14 (D) 0.15 (E) 0.16 Problem 7(h): Select t Part (h) choices