Question: Consider a binomial tree to value an option on an index which is currently worth 100 and has a volatility of 35%. The index provides

Consider a binomial tree to value an option on an index which is currently worth 100 and has a volatility of 35%. The index provides a dividend yield of 3%. Another tree is constructed to value an option on a non-dividend-paying stock which is currently worth 100 and has a volatility of 35%. Which of the following are true?

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

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

None of the above

The parameters p and u are the same for both trees

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