A tree is constructed to value an option on an index which is currently worth 100 and has a volatility of 25%. The index provides a dividend yield of 2%. Another tree is constructed to value an option on a non-dividend-paying stock which is currently worth 100 and has a volatility of 25%.

Select one:

a. The parameters p and u are the same for both trees

b. The parameter p is the same for both trees but u is not

c. The parameter u is the same for both trees but p is not

d. None of the above