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What is the value of the american put

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Reference no: EM133110702

The futures price of a commodity is $45.

The volatility of the futures price is 14% and the continuously compounded risk free rate is 3% for all maturities.

An American put option on the futures contract has strike price of $45 and a time to expiration of 6 months.

Use a two-step tree.

What is the value of the American put?

Reference no: EM133110702

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