● Information about the underlying asset: spot price 100, expected return 15%, volatility 20%. ● Information about the market: risk-free rate 5.00%. (a) Consider a Cox-Ross-Rubinstein (CRR) binomial tree, in which one time step is 4 months. Calculate the up-factor u, down-factor d, and show how to get the probability (of price moving up) p.

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