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Consider a risky asset that is currently worth 300 and has an annual volatility of 31%. A one-year, one-step binomial tree of the asset's possible
Consider a risky asset that is currently worth 300 and has an annual volatility of 31%. A one-year, one-step binomial tree of the asset's possible future values looks as such:
5 Amer Put B.jpg
Suppose that the risk-free rate of return is 10% (continuously compounded). What is the value of a one-year American put option with a strike price of 375?
Round your answer to the nearest cent. Your response must be within 0.10 of the correct answer to receive credit.
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