Question: Construct a 3 period tree diagram and associated probability distribution: The inputs are: S= 100 o= 0.4 t=0.25 n=3 r= 0.12 the stock price the

 Construct a 3 period tree diagram and associated probability distribution: The

Construct a 3 period tree diagram and associated probability distribution: The inputs are: S= 100 o= 0.4 t=0.25 n=3 r= 0.12 the stock price the volatility per annum the time to expiration (3 months) the number of periods the per annum rate of return compounded monthly. You must compute u, d, rr, p, q, Now from the above, compute C100, the value now of the 100 call as per : C100 = C EC,00) where is the expected value of the call antion at the expiration Construct a 3 period tree diagram and associated probability distribution: The inputs are: S= 100 o= 0.4 t=0.25 n=3 r= 0.12 the stock price the volatility per annum the time to expiration (3 months) the number of periods the per annum rate of return compounded monthly. You must compute u, d, rr, p, q, Now from the above, compute C100, the value now of the 100 call as per : C100 = C EC,00) where is the expected value of the call antion at the expiration

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