Please complete c, d, and e. Thanks!

Problem 2. (Binomial model, 23') Consider a European call option with a maturity of6 months and a strike of $41. The current spot stock price is $40. Consider a two-period binomial model. The stock has annual volatility of 30%, and the risk-free rate is 8% annualized and continuously compounded. The stock does not pay dividends. a. Calculate the length of one period in the binomial model (denoted h). Then calculate u and d, i.e., the up and down gross returns of the stock per period. Set up the binomial tree of stock price movement using the following binomial tree. (5') - 3hh = HHS) // //// (Node I'm) 3'. = NS) H5- // "' (Node u) "EH-HR s 40 \"z/ 3a = ans. 0 _ HRH\" //" (Node (In) \"a s, = as. , /' (JVOde d) \"HEM\" \"*-_.___ (Node dd) b. Calculate A. and B for the call option at each of the following nodes: u, d, and the initial node 0. (5') Calculate the value of the call option at each of the nodes. (Hint: Use the formula: Cl- = AiSi + Bi, where i denotes node 0, u, or d) (3') . What is a selfnancing strategy? Discuss why your replicating strategy in (b) and (c) is self-nancing at nodes u and d. (5') Calculate the risk-neutral probability at each node of u, d, and the initial node 0. Calculate the call option price using the risk-neutral probability method. (5')