2. Consider a series of American puts on a stock whose current price is S = 100. Suppose that all the puts have exercise price X = 120 and maturity T = 1. Divide this interval into sub-intervals of length Δt = 0.1 (i.e., let n =

10 in the spreadsheet). Compare the early exercise boundary for σ = 20 percent and σ = 40 percent. (Make a graph!) Can you give an intuitive explanation of your results?