Problem #4: Consider a European put option on a stock, with a $59 strike and 1-year to expiration. The stock has a continuous 16 marts dividend yield of 1%, and its current price is $33. Suppose the volatility of the stock is 19%. The continuously compounded risk-free interest rate is 3%. Use a two-period lognormal tree to calculate the following: (a) The payoff at time 2: Up movement. (b) The payoff at time 2: Middle movement. (e) The payoff at time 2: Down movement. (d) The payoff at time 1: Up movement. (e) The payoff at time 1: Down movement. ( The option cost at time 0. (A) 12.74 (B) 11.74 (C) 15.74 (D) 13.74 (E) 14.74 Problern #4(a): Select 1 Part (a) choices (A) 27.94 (B) 28.94 (C) 29.94 (D) 25.94 (E) 26.94 Problem #400) Select 1 Part (b) choices (A) 29.73 (B) 31.73 (C) 33.73 (D) 32.73 (E) 30.73 Problem 4(e): Select 1 Part (c) choices (A) 23.53 (B) 19.53 (C) 20.53 (D) 22.53 (E) 21.53 Problem (d): Select Part (d) cholces. (A) 26.39 (B) 27.39 (C) 30.39 (D) 29.39 (E) 28.39 Problem 4(e) Select t Part (e) choices (A) 22.58 (B) 24.58 (C) 25.58 (D) 23.58 (E) 21.58 Problem Aro: Select Party cho ces Problem #4: Consider a European put option on a stock, with a $59 strike and 1-year to expiration. The stock has a continuous 16 marts dividend yield of 1%, and its current price is $33. Suppose the volatility of the stock is 19%. The continuously compounded risk-free interest rate is 3%. Use a two-period lognormal tree to calculate the following: (a) The payoff at time 2: Up movement. (b) The payoff at time 2: Middle movement. (e) The payoff at time 2: Down movement. (d) The payoff at time 1: Up movement. (e) The payoff at time 1: Down movement. ( The option cost at time 0. (A) 12.74 (B) 11.74 (C) 15.74 (D) 13.74 (E) 14.74 Problern #4(a): Select 1 Part (a) choices (A) 27.94 (B) 28.94 (C) 29.94 (D) 25.94 (E) 26.94 Problem #400) Select 1 Part (b) choices (A) 29.73 (B) 31.73 (C) 33.73 (D) 32.73 (E) 30.73 Problem 4(e): Select 1 Part (c) choices (A) 23.53 (B) 19.53 (C) 20.53 (D) 22.53 (E) 21.53 Problem (d): Select Part (d) cholces. (A) 26.39 (B) 27.39 (C) 30.39 (D) 29.39 (E) 28.39 Problem 4(e) Select t Part (e) choices (A) 22.58 (B) 24.58 (C) 25.58 (D) 23.58 (E) 21.58 Problem Aro: Select Party cho ces