2b) A stock price is currently at

$253

. Over the next two three-month periods it is expected to go up by

6%

or down by

6%

(per period). The risk-free rate is

4%

per annum. What is the price of a six-month American put option with a strike price of

$251

?

2b) A stock price is currently at $253. Over the next two three-month periods it is expected to go up by 6% or down by 6% (per period). The risk-free rate is 4% per annum. What is the price of a six-month American put option with a strike price of $251