tabies jro 1. Use the binomial model starting at t 0 and ending at t 3 to price a long butterfly spread composed of calls with the following strike prices: X1 25, X2 = 30, X3 35. The stock is currently priced at So 30. The stock moves up or down in each period with equal probability. The up movement has a gross return of 1.10 while the down movement has a gross return of 0.94. A bond is currently available at $1 and pays a risk-free gross return of R = 1.05. Neatly draw any necessary lattice representation of the binomial model. Write any necessary system of equations for "pricing by arbitrage". i. Represent this/these system(s) in matrix form. Write a system of equations to solve for the state prices. This part may not be done in a. b. . Excel. i. Represent this system in matrix form. Solve for the state prices. This part may be done in Excel. Price the butterfly as a European option. This part may be done in Excel Suppose that each of the options contracts comes due in 9 months such that each period for the binomial model above spans 3 months. Will the binomial model price d. e. f. converge to Black-Scholes price? Explain. Consider puts at the following stock prices: X1