Consider an American put option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months.
This information is summarized in the table below.
Current stock price					$40.00
Strike price for the put option					$40.00
Risk-free interest rate					4%
Annualized volatility					30%
Time to maturity for the put option (in months)					6
Use the Cox-Ross-Rubinstein approach to value the American put option using a six-step tree.
Calculate t, u, d, p, and 1 - p for the six-step tree.
Number of time steps					6
Length of each time step (in years)				t
Up multiplier				u
Down multiplier				d
Risk-neutral probability of up movement				p
Risk-neutral probability of down movement				1 - p