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Binomial Tree A stock price is currently $48. Over each of the next two six-month periods it is expected to go up by 7% or

Binomial Tree

A stock price is currently $48. Over each of the next two six-month periods it is expected to go up by 7% or down by 6%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 12-month American put option with a strike price of $49?

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