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The current price of NLT stock is $40 and the stock price will increase by 10% or decline by 8% every month. NLT pays no

The current price of NLT stock is $40 and the stock price will increase by 10% or decline by 8% every month. NLT pays no dividends. The continuous risk-free interest rate is 4% p.a., which will remain constant forever. Construct a two-step binomial tree to describe the price evolvement of the stock and calculate the price of a 2-month American put option on NLT stock with a strike price of $38.

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