hello !

can someone help with question b)

An investor considers the non-dividend paying UNI stock and a vanilla European put option with 12 months to maturity and strike price 150 kr. The UNI stock currently trades at 100 kr. The stock is risky and the volatility of the stock is 35%. The continuously compounded risk free interest rate is 20% per annum for all maturities. The asset does not pay out any dividends. In all calculations keep at least four decimals. Round off your final answer to two decimals. (a) Assume that the stock follows a standard 4-step Cox-Ross-Rubenstein (CRR) Binomial. What is the European put price on the UNI stock? (b) An investor is looking at the (CRR) Binomial tree in exercise (a) and assigns a probability of 31.62% for an up-movement to happen after each time-step. The investor invests into a portfolio consisting of 2 units of the European at-the-money put option and she would like you to tell her what is the 99% Value-at-Risk- (VaR) for the 12 months period of a her portfolio. An investor considers the non-dividend paying UNI stock and a vanilla European put option with 12 months to maturity and strike price 150 kr. The UNI stock currently trades at 100 kr. The stock is risky and the volatility of the stock is 35%. The continuously compounded risk free interest rate is 20% per annum for all maturities. The asset does not pay out any dividends. In all calculations keep at least four decimals. Round off your final answer to two decimals. (a) Assume that the stock follows a standard 4-step Cox-Ross-Rubenstein (CRR) Binomial. What is the European put price on the UNI stock? (b) An investor is looking at the (CRR) Binomial tree in exercise (a) and assigns a probability of 31.62% for an up-movement to happen after each time-step. The investor invests into a portfolio consisting of 2 units of the European at-the-money put option and she would like you to tell her what is the 99% Value-at-Risk- (VaR) for the 12 months period of a her portfolio