In class, when showing the binomial tree model converges to the Black- Scholes Option pricing model, we relied on the infinite series expansion of the risk-neutral probability term T/ nd P= u-d et-e-T/ et-e-Tin To show that the terms p(1 p) and (p - 1) converged to 1/4 and (r-o2/2)VT 20 respectively. This was important for computign the limit of the U, term as no Similarly, for U, we considered a slightly modified probability term, p*, which is given by: etce T 'T p* Tin rT Show that, as n +00,p*(1-p*) converges to 1/4, and that n(p* tends to (r + o2/2)T 20 In class, when showing the binomial tree model converges to the Black- Scholes Option pricing model, we relied on the infinite series expansion of the risk-neutral probability term T/ nd P= u-d et-e-T/ et-e-Tin To show that the terms p(1 p) and (p - 1) converged to 1/4 and (r-o2/2)VT 20 respectively. This was important for computign the limit of the U, term as no Similarly, for U, we considered a slightly modified probability term, p*, which is given by: etce T 'T p* Tin rT Show that, as n +00,p*(1-p*) converges to 1/4, and that n(p* tends to (r + o2/2)T 20