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The current price of a stock is $77, the sigma is 0.20 and the continuously-compounded...

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Accounting

The current price of a stock is $77, the sigma is 0.20 and the continuously-compounded risk-free rate is 4%. The stock does not pay any dividends. We want to price a call and a put option with strike of 75 and three months to maturity on this stock.

Suppose we use a two-step binomial tree method to determine the price of the call and put option on the stock described in Case 2.

The value of u is ____.

The value of d is ____.

The value of uuS0 is ____.

The value of udS0 is ____.

The value of Cuu is ____.

The value of Cdd is ____.

The value of Cu is ____.

The value of Puu ____.

The value of Pud ___.

The value of Pu ____.

The probability P* for the call option is ____.

The price of a call option C is ____.

The price of a put option P is ____.

Please use excel

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