A 2-month American put option on a stock indes has an exercise price of 480. The current
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A 2-month American put option on a stock indes has an exercise price of 480. The current level of the indes is 484, the risk-free interest rate is 10% per annum, the dividend yield on the index is 3% per annum, and the volatility of the indes is 15% per annum. Divide the life of the option into four half-month periods and use the tree approach to estimate the value of the option.
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