Question: 2. (10pts) Let A(0) = 80, A(1) = 90, S(0) = 80 and 100, with probability, S(1) = { 60, with probability/. a) (5pts) Compute

2. (10pts) Let A(0) = 80, A(1) = 90, S(0) =

2. (10pts) Let A(0) = 80, A(1) = 90, S(0) = 80 and 100, with probability, S(1) = { 60, with probability/. a) (5pts) Compute the price C(0) of a call option with exercise time 1 and strike price $85. b) (5pts) Compute the price P(0) of a put option with strike price $85

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