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Question 6. You invested an American put option on the stock of Transcendental Construction, Inc. (the Company), which is currently trading at $100. The strike

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Question 6. You invested an American put option on the stock of Transcendental Construction, Inc. (the Company), which is currently trading at $100. The strike price of the option is $105, and it matures in 6 months. The 10-year Treasury Bond has a yield of 2% p.a. compounded annually. Suppose that the annual volatility of the Company's stock price is 24%, use a three-step binomial pricing model to estimate the value of the option

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