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Calculate the price of strike european put option

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Reference no: EM132180026

Question - For a two-period binomial model on a stock, you are given:

The binomial tree is a forward tree, with each period being 6 months.

The value of the stock at node uu is 80.00.

The value of the stock at node dd is 61.25.

A risk-free zero-coupon bond maturing in one year with face value of 1 costs 0.95.

Calculate the price of a 1-year 75-strike European put option.

A. 4.67

B. 5.21

C. 5.86

D. 6.17

E. There is not enough information to solve this problem.

Reference no: EM132180026

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