What is the option price for american put option

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Reference no: EM132775537

Problem 1: The current price of a non-dividend paying stock is $40.08. Use a two-step tree to value an American put option on the stock with a strike price of $42.67 that expires in 6 months. Each step is 3 months, the risk free rate is 8% per annum with continuous compounding. What is the option price when u = 1.1 and d = 0.9?

Reference no: EM132775537

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