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What is the value of a 9-month european put

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A stock price is currently $50. Over each of the next 3 three-month periods it is expected to go up by 10% or down by 10%. The 3-month zero risk free rate is 4.6% per annum with continuous compounding, The 6-month zero risk free rate is 5.2% per annum with continuous compounding and the 9-month zero risk free rate is 6% per annum with continuous compounding. What is the value of a 9-month European put with strike price $55.

Reference no: EM133003792

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