Build a three-step CRR stock price tree using the following information: • maturity: 3 months, i.e. each step is one month annual volatility of the stock: 0.35 annual, continuously compounded risk-free rate: 1% stock price today: 50 Note: it is most efficient to extend one of the spreadsheets discussed in the seminar. (a) What is the risk-neutral probability in the tree? Explain why the risk-neutral probability and not the real probability is used for option pricing. [5 marks] (b) Calculate the price of an American put option with strike K = 50. [10 marks]