Problem 3: Twostage Binomial Options Pricing (3 points) A stock with Current share price of $20 can either go up or down by $2 in each of the next two months, with up occurring 55% of the time and down occurring 45% of the time. To keep things simple, we will assume that the risk-free rate is 0%, and that you can both borrow and lend at this rate. There is a call option traded with a strike price of $22 expiring in two months. Our goal will be to nd the tie-arbitrage price of the call today. y Shh = $24 85 = $22 55% / 45\\%_ SQ. = $20 56070 Sm = $20 $1 / D S: = $18 4\\ 5% st = $16 (a) Find the Ire-arbitrage price of the call One month from now if the stock is worth $22. Noarbitrage call price Ch