1 .

(a) Using a two-period binomial tree fmd the call premium for a 6-month option with a strike of 500, where the underlying security is currently quoted at 480 with annualised volatility of 25%, risk-free rate of interest 6%, and dividend yield is zero.

(b) Repeat

(a) but in respect of a put option with the same strike.

(c) Using Excel's Table function establish the call option's delta for the case described in

(a) under regimes of 5, 4, 3, 2, 1 month to expiration.