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Use a two-step tree to value a european put option

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Problem 1: The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 8%, and u = 1.1 and d = 0.9.

Select one:

a. $4.44
b. $2.94
c. $3.64
d. $2.24

Reference no: EM132920565

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