Problem 1 (12 points): Consider a stock with current price S=100 and standard deviation of annual returns o=20%. Consider a 1-year European call option on this stock with strike price of $95. The risk-free interest rate is 6% a) (3 points) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model. Hand-write your entire solution (use of calculators are allowed) b) (3 points) Using Excel, find the value of this option using Cox-Ross-Rubenstein 5-step binomial option pricing model. c) (3 points) Using Excel, find the value of this option using Cox-Ross-Rubenstein 10-step binomial option pricing model. d) (3 points) Using Excel or any other methods (except option price calculators), find the value of this option using Black-Scholes model Problem 1 (12 points): Consider a stock with current price S=100 and standard deviation of annual returns o=20%. Consider a 1-year European call option on this stock with strike price of $95. The risk-free interest rate is 6% a) (3 points) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model. Hand-write your entire solution (use of calculators are allowed) b) (3 points) Using Excel, find the value of this option using Cox-Ross-Rubenstein 5-step binomial option pricing model. c) (3 points) Using Excel, find the value of this option using Cox-Ross-Rubenstein 10-step binomial option pricing model. d) (3 points) Using Excel or any other methods (except option price calculators), find the value of this option using Black-Scholes model