Let Sn be an evolution of price of $100 US measured in SFR (Swiss franks). Let also S0 = 150 SFR, S1 = 180 SFR, or S1 = 90 SFR,B0 =1 SFR, r=0, N=1, f(S1)=max(0,S1−K), K= 150 SFR, P(ρ1 = b) = P(ρ1 = a) = 1/2. Find p∗,a,b,β0∗,γ0∗ and European Call Option Price C1 using Cox-Ross-Rubinstein formula.

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