Calculate put value at each node of tree

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Reference no: EM131990840

A stock price is $100 now. In 1 month it can go 5% up or down. In the second month it can go 5%up or down. In the third month it can go 5% up or down. Construct a binomial tree for this stock. The annual interest rate is 10% with continuous compounding. Use risk-free portfolios to calculate the value of a three-month European put with the strike price 101. Calculate the Delta at each node of the tree. Calculate the put value at each node of the tree.

Reference no: EM131990840

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