(Derivatives & Risk Management - BOPM: Binomial Options Pricing Model)

CONSIDER THE FOLLOWING STOCK

A stock is currently priced at $80. (S)

In 115 days, it will be either $85 (S_u ) or $75 (S_d)

The risk-free rate is 5% (r)

The strike price is $83 (K)

f = $1.24 (i.e. expected value of payoff)

f_{put = $2.92 (price of a put option)}

Delta = 0.20 and V_{1 (v hat)} = $15 in arb model

p = 0.628804 in the risk neutral case.

(probability of UP S.O.N., also shown as PR(increase)

What are the call and put prices for options with 115-day maturities??