Which of the following is correct?

a.When the underlying asset price becomes very small, ceteris paribus, we expect the put to be valued closed to 0, because N(d1) and N(d2) are close to zero, where N(d1) and N(d2) are cumulative probability functions that capture the probability of each state of the world.

b.When valuing the 6-month option of a dividend paying stock which pays a dividend in 8 months using a 2-step binomial tree, the present value of the dividend only needs to be added to the terminal nodes as that is the closest time to when the dividend is paid

c.We can assume investors are neutral to risks under the binomial tree framework because the risk preferences of real-world investors are already incorporated in the price when considering the probability of each state of the world.

d.Since volatility can be affected by trading, traders tend to consider every day when calculating annualized volatility. As such, the annual volatility is exactly 252 times the daily volatility.