Question: = = 2. (20 pts) In a two-step binomial tree model, let S(0) = 20 dollars, u = 0.1, d= -0.25 and p = 0.1.

= = 2. (20 pts) In a two-step binomial tree model,

= = 2. (20 pts) In a two-step binomial tree model, let S(0) = 20 dollars, u = 0.1, d= -0.25 and p = 0.1. Consider a call option with strike price X = 15 dollars and exercise time T = 2. Find the option price and the replicating strategy. =

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