Consider a six-month European put option on one stock. Suppose that the current stock price...
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Accounting
Consider a six-month European put option on one stock. Suppose that the current stock price is 15, the strike price is 18.5, the continuously compounded risk-free rate
is 2% per annum, and the volatility of the stock is 10% per annum.
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Value this option using a two-period binomial tree.
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How much is the value of the option, if it is an American option?
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