(3) Consider a binomial tree model with S(0) = 10, u = 0.1, d = -0.2 and r = 0. Asian Options are options whose payoffs depend on the average price of the underlying asset. Let (2) be the payoff at time 2 of an Asian option with strike price 9. i.e. S(0) + S(1) + S(2) (2) = (2) - 9,0} =max 3 Compute the following: (a) E.[C(2)|S(1)] (b) E.[C(2)] (c) Var.[(2)] (3) Consider a binomial tree model with S(0) = 10, u = 0.1, d = -0.2 and r = 0. Asian Options are options whose payoffs depend on the average price of the underlying asset. Let (2) be the payoff at time 2 of an Asian option with strike price 9. i.e. S(0) + S(1) + S(2) (2) = (2) - 9,0} =max 3 Compute the following: (a) E.[C(2)|S(1)] (b) E.[C(2)] (c) Var.[(2)]