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Consider a stock with current price S=100 and standard deviation of annual returns sd=20%. Stock does not pay any dividends. Consider a 1-year European put
Consider a stock with current price S=100 and standard deviation of annual returns sd=20%. Stock does not pay any dividends. Consider a 1-year European put option on this stock with strike price of $102. The risk-free interest rate is 9%. When needed, use Cox-Ross-Rubenstein method for determining u and d.
a) Find the value of this option using 2-step binomial option pricing model.
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