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7 . [ Binomial Tree ] The current price of a non - dividend paying stock is $ 5 0 . Use a two -

7.[Binomial Tree] The current price of a non-dividend paying stock is $50. Use a two-step tree to value an American put option on the stock with a strike price of $48 that expires in 12 months. Each step is 6 months, the risk-free rate is 5% per annum, and the volatility is 20%. Which of the following is the option price?
A. $1.95
B. $2.00
C. $2.05
D. $2.10

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