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2. Suppose three-period (years) ATM Bermudan put options, whose underlying stock has current price of $100 with a degree of up movement of 30% and
2. Suppose three-period (years) ATM Bermudan put options, whose underlying stock has current price of $100 with a degree of up movement of 30% and down movement of 10% for each year. The risk-free annual rate is 10%. Please find the premium of Bermudan put, if the holder of put has right to early exercise his right just at second period.
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