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Consider a six-month European put option on an index. The current index value is $2030, the strike price is $2090, the dividend yield is 2%
Consider a six-month European put option on an index. The current index value is $2030, the strike price is $2090, the dividend yield is 2% per annum, and the continuously compounded risk-free interest rate is 6% per annum. The volatility of the index is 20% per annum. What is price of the option according to a two-step binomial tree?
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