The current price of a non-dividend-paying biotech stock is $$\$ 140$$ with a volatility of $25 \%$. The risk-free rate is $4 \%$. For a 3 -month time step:
(a) What is the percentage up movement?
(b) What is the percentage down movement?
(c) What is the probability of an up movement in a risk-neutral world?
(d) What is the probability of a down movement in a risk-neutral world?
Use a two-step tree to value a 6-month European call option and a 6-month European put option. In both cases the strike price is $$\$ 150$$.