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Consider a European style 6-month put option on a dividend paying stock index where the stock price is $300 the strike price is $300. It
Consider a European style 6-month put option on a dividend paying stock index where the stock price is $300 the strike price is $300. It is expected to increase or decrease by 10% over each of the next two time periods of three months. The risk-free rate is 8% and the dividend yield on the index is 3%. Calculate the price of this option using a two-step tree.
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