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The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk free rate is 3%

The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk free rate is 3% for all maturities. An American put option on the futures contract has strike price of $45 and a time to expiration of 6 months. Use a two-step tree. Which of the following is closest to the value of the American put ?

a. $1.5625 b. $1.5508 c. $0.0

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