Question: Consider a two-steps Binomial Tree model with S(0) = $100, A(0) = 10, u = 0.1, d = 0.1 and one-step risk-free return r =

Consider a two-steps Binomial Tree model with S(0) = $100, A(0) = 10, u = 0.1, d = 0.1 and one-step risk-free return r = 0.05. (a) (7 points) What is the price of a European call option with K = 95 to be exercised after two time steps, i.e., N = 2? (b) (8 points) Find all of the replication strategies of this European call option

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