Problem 3 (15 points) There is an American put option on a stock with an expected return of 12 percent and an annual standard deviation of 60 percent. The current stock price is $87 and the risk-free rate is 1.3 percent. The strike price of the option is $85 and the option expires in four months. The stock will pay a dividend of $4.35 in one and one-half months. Price the option using a binomial tree with one-month steps. Problem 3 (15 points) There is an American put option on a stock with an expected return of 12 percent and an annual standard deviation of 60 percent. The current stock price is $87 and the risk-free rate is 1.3 percent. The strike price of the option is $85 and the option expires in four months. The stock will pay a dividend of $4.35 in one and one-half months. Price the option using a binomial tree with one-month steps