h d pv 9. Use a 3-step binomial model to price an American style put option with K = $175, S = $165, 6 = 0.85, r=0.002 and 6 = 0, with exactly 22 days to expiration (use days/365 fort). a) Using a 3-step binomial tree what are the up/down moves (u. c), and what is the risk-neutral probability (p) of prices going higher each period? b) What is the value of the European put option (use the Black-Scholes model for this part)? c) What is the value of the option if it is American? 1.P Euro Pur Am Put h d pv 9. Use a 3-step binomial model to price an American style put option with K = $175, S = $165, 6 = 0.85, r=0.002 and 6 = 0, with exactly 22 days to expiration (use days/365 fort). a) Using a 3-step binomial tree what are the up/down moves (u. c), and what is the risk-neutral probability (p) of prices going higher each period? b) What is the value of the European put option (use the Black-Scholes model for this part)? c) What is the value of the option if it is American? 1.P Euro Pur Am Put