HW Question: Chapter 12 . Consider European call and put options on a non-dividend-paying stock where the stock price is $50, the exercise price is $50, the risk-free interest rate with continuous compounding is 6% per annum, the volatility is 30% per annum, and the time to maturity is four months. (a) Calculate u, d, and p for a two step tree. (b) Value the call and put using a two step tree. HW Question: Chapter 12 . Consider European call and put options on a non-dividend-paying stock where the stock price is $50, the exercise price is $50, the risk-free interest rate with continuous compounding is 6% per annum, the volatility is 30% per annum, and the time to maturity is four months. (a) Calculate u, d, and p for a two step tree. (b) Value the call and put using a two step tree