1) Consider the following binomial option pricing problem involving a call. This call has one period to go before expiring. Its stock price is $45, and its exercise price is $49.50. The risk-free rate is 0.05%, the value of u is 1.25, and the value of the d is .95. Construct the 1-period binomial tree model and find the value of the call premium using:

Leverage (6-step, Method 1)

Group of answer choices

a) 3.35

b) 4.50

c) 2.04

d) 2.14

2) Consider the following binomial option pricing problem involving a call. This call has one period to go before expiring. Its stock price is $45, and its exercise price is $49.50. The risk-free rate is 0.05%, the value of u is 1.25, and the value of the d is .95. Construct the 1-period binomial tree model and find the value of the call premium using:

Probability method (Method 2).

Group of answer choices

a) 2.04

b) 4.50

c) 2.14

d) 3.35

3) Consider the following binomial option pricing problem involving a call. This call has two periods to go before expiring. Its stock price is $65, and its exercise price is $60. The risk-free rate is 0.05%, the value of u is 1.20, and the value of the d is .95. Construct the 2-period binomial tree model and find the value of the European call premium.

Group of answer choices

a) 9.82

b) 11.01

c) 10.05

d) 9.50

4) Consider the following binomial option pricing problem involving a put. This put has two periods to go before expiring.Its stock price is $100, and its exercise price is $110. The company expects to pay dividends after the first period. The dividend yield is 7%, the risk-free rate is 0.05%, the value of u is 1.15, and the value of the d is .90. Construct the 2-period binomial tree model and find the value of the European put premium.

Group of answer choices

a) 12.44

b) 11.02

c) 11.52

d) 12.02

5) Calculate the value of the call and put options using the Black Scholes model, assuming the option expires in one year's time, standard deviation () is 0.3, risk-free rate is 1.0%, a stock price of 95, and an exercise price of 115. Assume no dividend is expected to be paid.

Group of answer choices

a) 5.2

b) 4.8

c) 5.0

d) 4.6

6) Calculate the value of a one-year put option if the one-year call option is priced at $13, the stock price is $65, the exercise price is $60, and the risk-free rate is 2.0%, using the call-put parity method.

Group of answer choices

a) 7.10

b) 7.18

c) 6.52

d) 6.81

Please show all work and explain.