Question: please show work 1. Consider a one-period binomial tree with u = 1.46, d= 0.73, So = 34, r = 0.06. The European call we

please show work

1. Consider a one-period binomial tree with u = 1.46, d= 0.73, So = 34, r = 0.06. The European call we wish to price has T = 1, K = 30. (a) Find the replicating portfolio. (12 points, out of 100) (b) Using the replicating portfolio, find the current price of the option. (6 points) (c) Suppose the market price of the option is $10. What transaction would you undertake to exploit the arbitrage? (6 points)

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