(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 C(2) be the payoff at time 2 of an Asian option with strike price 9. i.e. C(2) = max nS(0) + S(1) + S(2) 3 9, 0 o Compute the following: (a) E[C(2)|S(1)] (b) E[C(2)] (c) Var[C(2)]