Question 2 The current price of a non-dividend paying stock is $35. Use a two-step tree to value an American put option on the stock with a strike price of $33 that expires in 12 months. Each step is 6 months, the risk free rate is 6% per annum (continuously compounding), and the volatility is 15%. What is the option price? Show work in detail and use a tree diagram [Use 4 decimal places). (7 marks}