2. Consider a stock with a volatility of its logarithm of = 20%. The current price of the stock is $63. The stock pays n

[answerhappygod]

2. Consider a stock with a volatility of its logarithm of = 20%.
The current price of the stock is $63. The stock pays no dividends.
A certain call option on this stock has an expiration date 5 months
from now and a strike price of $60. The risk-free interest rate r
is 10%, compounded continuously.
(a) Determine the price of this call using 5 period binomial
option approach, and
(b) Calculate the delta values at each node of the first three
periods (i.e. there will be total 6 values of delta.