Using the data in the previous question, you are now asked to approximate the current value of a European call option on the stock St the option has a strike price of 100, and a maturity of 100 days (a) Determine as appropriate time interval , such that the binomial tree has 5 steps (b) What would be the implied u and d (c) What is the implied up probability (d) Determine the tree for the stock price St (e) Determine the tree for the call premium Ct

Question: Using the data in the previous question, you are now asked to approximate the current value of a European call option on the stock St.

Using the data in the previous question, you are now asked to approximate the current value of a European call option on the stock St. the option has a strike price of 100, and a maturity of 100 days

(a) Determine as appropriate time interval Δ, such that the binomial tree has 5 steps

(b) What would be the implied u and d?

(d) Determine the tree for the stock price St?

(e) Determine the tree for the call premium Ct.

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