Problem 5 A stock index is currently 2,000. Its volatility is 20%. The risk-free rate is 5% per annum continuously compounded) for all maturities and the dividend yield on the index is 1%. Calculate values for u, d, and p when a three-month time step is used. What is the value a 6-month American put option with a strike price of 2020 given by a two-step binomial tree. Show how you derive the index price and option price binomial trees. Problem 5 A stock index is currently 2,000. Its volatility is 20%. The risk-free rate is 5% per annum continuously compounded) for all maturities and the dividend yield on the index is 1%. Calculate values for u, d, and p when a three-month time step is used. What is the value a 6-month American put option with a strike price of 2020 given by a two-step binomial tree. Show how you derive the index price and option price binomial trees