Using binomial model. approach, price an at-the-money (ATM) call option on a two-period tree based on the following inputs: S = 100, T = 1 yr, risk-free rate = 10% , vol = 20% (risk-free and vol numbers are annualized)

2. Attach a table of ATM call and Put option prices for the inputs in question 2 above, by only varying the number of periods in the tree from 5 to 250 (in steps of 25). Also submit the Black-Scholes prices for these options. This will tell us something about the price convergence.