Question: (20 pts) Let S(0) = 100 dollars, u = 0.3, d = -0.1 and r = 0.1. Consider a call option with strike price X

(20 pts) Let S(0) = 100 dollars, u = 0.3, d

(20 pts) Let S(0) = 100 dollars, u = 0.3, d = -0.1 and r = 0.1. Consider a call option with strike price X = 100 dollars and exercise time T = 2. Find the option price and the replicating strategy. (20 pts) Let S(0) = 100 dollars, u = 0.3, d = -0.1 and r = 0.1. Consider a call option with strike price X = 100 dollars and exercise time T = 2. Find the option price and the replicating strategy

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