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1. Consider a two-period CRR model with continuously compounded interest rate r = 0.05, S(0) = 100, u = 1.1, and d = 0.9. The

1. Consider a two-period CRR model with continuously compounded interest rate r = 0.05, S(0) = 100, u = 1.1, and d = 0.9. The payoff is the European at-the-money put option with strike price K = S(0) = 100. We take t = 1. Compute the price of the option at time t = 0.

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