Question

1. Build a binomial tree for stock price evolution. Specifically, set the upper movement of the price (u) to an expression that will depend on the number on your group.

u= (1.10 +Group Number/100),

Group1,u=1.11.Group2=1.12. Group3=1.13,...,Group50=1.60

You can define d = 1/u.

1. Calculate and show the new Binomial tree for N=6.
2. What are the terminal values of each path? Define the appropriate filtrations for each of these values.