Consider a binomial model S(0) = 100 and r = .01 and two possible return values m1 = .05 and m2 = −.03.
a. Find the (time 0) value of a European call with expiry time at step 5 and strike price X = 105.
b. Find the (time 0) value of a European put with expiry time at step 5 and strike price X = 105.
c. Find the (time 0) value of a American call with expiry time at step 5 and strike price X = 105.
d. Find the (time 0) value of a American put with expiry time at step 5 and strike price X = 105