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Compare the european put option value

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Reference no: EM133074781

Consider the following variables for a put option. Assume So = $100, volatility o = 20%, time to expiration 7 = 3 years, strike price X = $95, and risk free rate r =2%.

a. Use DPL with Ar = 1 year periods to solve for the value of an American put option.

b. Check your calculation using the Excel file binomial model.xism.

c. How does this result compare to the European put option value?

Reference no: EM133074781

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