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Consider the following market information: So = $100 (current market price of GZ stock) Riskless one-year rate = 3.0%, so that an investment of $1.00 in a one-year US Treasury bill will return $1.03 in one year. Assume you establish a bear spread by buying a put with a strike of $100 and selling a put with a strike of $80. Assume GZ's volatility for the next year is 70%. Use a one-period binomial model to answer the following questions (please answer parts (a) and (b): a) What is the theoretical cost (value) of this spread? b) what is the net delta of the spread? Consider the following market information: So = $100 (current market price of GZ stock) Riskless one-year rate = 3.0%, so that an investment of $1.00 in a one-year US Treasury bill will return $1.03 in one year. Assume you establish a bear spread by buying a put with a strike of $100 and selling a put with a strike of $80. Assume GZ's volatility for the next year is 70%. Use a one-period binomial model to answer the following questions (please answer parts (a) and (b): a) What is the theoretical cost (value) of this spread? b) what is the net delta of the spread