Consider a 6-month (two-period) European put with the strike price K=21.+ The risk-free interest rate R for continuous compounding is equal to 12%. If the price of the option underlying stock obeys the binomial dynamics as follows, please find the put option values Puu Pud, Pud, Pw Pa and Po at nodes D, E, F, B, C, and A by using no-arbitrage argument. + Besides, find the corresponding delta A, A, and A at nodes B, C, A.- L Ans.+ A So =20 Po = ? 4%=? t=0 At = 12 B Sou 22 2 P = ? A? Sou D 24.2 Puu =? E Soud = Sodu = 19.8 Pud =? Sod = 18 Pa =? 42=? F Sod = 16.2 - Pad =? t = At = 1/72 t = 2At= 12