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2. American option. Consider an American put option on a security with matu- rity T = 3 and strike K = 95. The possible

2. American option. Consider an American put option on a security with matu- rity T = 3 and strike K = 95. The possible outcomes of this security are displayed as below, and interest rates are R = 1.02. What is the price of this option? 112.36 119.1016 106 106 100 100 94.3396 94.3396 88.9996 83.9619 t = 0 t = 1 t = 2 t = 3

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