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The current price of a non-dividend paying stock is $35. Use a two-step tree to value...

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Finance

The current price of a non-dividend paying stock is $35. Use atwo-step tree to value an American put option on the stock with astrike price of $33 that expires in 12 months. Each step is 6months, the risk free rate is 6% per annum (continuouslycompounding), and the volatility is 15%. What is the option price?Show work in detail and use a tree diagram (Use 4 decimalplaces).

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Parameters of Option Binomial Model There are three parameters of Option Binomial Pricing Modelup factor udown factor dprobability Pup factor and down    See Answer
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The current price of a non-dividend paying stock is $35. Use atwo-step tree to value an American put option on the stock with astrike price of $33 that expires in 12 months. Each step is 6months, the risk free rate is 6% per annum (continuouslycompounding), and the volatility is 15%. What is the option price?Show work in detail and use a tree diagram (Use 4 decimalplaces).

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