1 poin Problem Solving Question [(a)-(e)] period i=0 i=1 time (in years) t=0 t = 0,5 r (1,0) = 5% with probe. p = 1/2 ro= 3% r (1,d) = 2% with probe. 1-p=1/2 Consider the interest rate tree in the above Table. (continuously compounded) Po (2)=97 (e) Compute the value of a bond option with payoff Bond option payoff at time i = 1 ismax (P (2) - 97, 0) Please write your answer in four decimal places. For this question only, if you couldn't find risk neutral probability p* in (c), you can use p*=0.3 instead. (0.3 is not the correct p*.) 1 poin Problem Solving Question [(a)-(e)] period i=0 i=1 time (in years) t=0 t = 0,5 r (1,0) = 5% with probe. p = 1/2 ro= 3% r (1,d) = 2% with probe. 1-p=1/2 Consider the interest rate tree in the above Table. (continuously compounded) Po (2)=97 (e) Compute the value of a bond option with payoff Bond option payoff at time i = 1 ismax (P (2) - 97, 0) Please write your answer in four decimal places. For this question only, if you couldn't find risk neutral probability p* in (c), you can use p*=0.3 instead. (0.3 is not the correct p*.)