Determine the price of the option if it is american

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Reference no: EM131237197

Consider a put option on a non-dividend-paying stock when the stock price is $40, the strike price is $42, the risk-free interest rate is 2%, the volatility is 25% per annum, and the time to maturity is three months. Use DerivaGem to determine the following:

(a) The price of the option if it is European (use Analytic: European).

(b) The price of the option if it is American (use Binomial: American with 100 tree steps)

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Reference no: EM131237197

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