This is a 2-period binomial model. (6-month+6-month = 1 year) [conti. = continuously compounded/discounted; option's underlying asset = 1 share of the stock] [i] What is the fair value of a European call option with strike price(K) = $200 and maturity = 1 year ? [ii] What is the fair value of a European put option with strike price(K) = $200 and maturity = 1 year ? [ii] What is the fair value of an American put option with strike price(K) = $200 and maturity = 1 year ? So T T $200 $200 1.25 12% pa (conti.) d 0.80 6-month+6-month= 1 year $312.50 $250 $200.00 $160 $128.00