You work in a company that trades in options. You must in this analysis use a two-period binomial model. Your liability is options with expiration 6 months on a share that does not pay dividends.

Time 0 price to underlying share is S0 = 75, and the share's possible price development is described with an increase factor u = 1, 1 and decrease factor d = 0, 9. For a given option, you get the following information about replicating strategy:

At the time of 0 the number of shares are 0 = 0, 47558 and risk-free placement B0 = 39, 5185, at time the time of 0, 25 (about three months) in state u (one rise) is replicating strategy u = 0, 04545 and Bu = 4, 1163. Continuous interest rate, risk-free interest rate is r = 0, 0084 p.a.

a) What is the time 0 value of the option?

b) What option is this?