Question: Problem 6. (35 points) The current price of a certain stock is $94. The stock pays no dividends. In six months, the stock price

Problem 6. (35 points) The current price of a certain stock is $94. The stock pays no dividends. In six months, the stock price will either increase to $114.00 or decrease to $80.00. The continuously- compounded risk-free rate is 6%. Consider a 6-month put option with a strike price of $90. Using a one-step binomial tree model, determine u, d, Cu, Cd, P* (neutral-risk probability), delta, B and the price of the put option. Write your answers in four decimal places.

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