* This is all the information I got from the question. No other references are needed

Suppose we have a non-dividend paying stock, that currently trades at $25. Over each of the next three one-year periods, the stock is expected to go up by 15.0% or down by 13.0%. The risk-free interest rate is 1.0% per year (continuous interest!) and the yield curve is flat. a) Construct a three-period binomial tree for the value of the stock. Identify the values at t=0, t=1, t=2 and t=3, which each period lasting one year. Please round to 3 digits after the decimal. b) Calculate the hedge ratios for a call option with strike price of $23 for all periods. c) Calculate the price of a three-year European call option on the stock with an exercise price of $23 using a three-period binomial model. Note: if you use the hedge ratio, apply the procedure for every period separately, starting at the back, and then use the option values you calculated for the previous period. Always discount one period at a time, and always use continuous interest, so e^(-rT). Now assume that in the second year, the volatility of the stock increases considerably. The increase in case of a price rise is now X%, if the price drops, it will be by 1-[1/(1+X)]%. Example: if your X is 25, the rise in year two is 25% if the share price goes up, and if the share price goes down, it does so by 20%, because (1-[1/1+0.25]) = (1-[1/1.25]) = (1-[0.8]) = 0.2 = 20%. Another: if you X is 40, your stock increases by 40% or decreases by 28.57%. This number X is not the same for each group. You determine this as follows: you take the last digit of the student number of each person in your group (so 125234345 means you take a 5; a '0' counts as 10). Add these last digit numbers, and then add another 15. The result is X, which you need to use in your calculations for 4d. It should be a value between 16 and 75. d) Recalculate your answers to questions 4a, 4b and 4c based on this data. The data for year 1 remains as it was. Note: regard the last two years as two new options, with the higher volatility. Solve that, then revisit the deltas of the first year.

* This is all the information I got from the question. No other references are needed

Please solve the question from a) to d).