Question: Consider the stock process pictured below, ro yo 95 100 90 95 (80 Stock Process (a) What is the value of an option to buy

Consider the stock process pictured below, ro yo 95 100 90

Consider the stock process pictured below, ro yo 95 100 90 95 (80 Stock Process (a) What is the value of an option to buy the stock at 85 euro after two time ticks? (Assume that r=0.) (b) Let P be the measure on the tree which has probability of 1/3 on each up branch, and 2/3 on each down branch. Find Ep(S2|F6). What can you deduce from your

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