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 of 100, and a of 200 days.
(a) Determine an 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.

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