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Find the price of the american put option

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A stock price is currently $100. Over each of the next two 2-month periods it is expected to go up or go down with up-factor u and down-factor d. The risk-free interest rate is 6% per annum with continuously compounding. Consider a 4-month American put option with a strike price of K.

Problem 1: Find the price of the American put option

Reference no: EM132619181

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