We have a one-year, Rs.110-strike American put option on a non-dividend-paying stock whose current price is Rs.100. Assume that the applicable interest rate is 6% pa cont. comp. Use a two-period binomial tree with u = 1.23 and d = 0.86 to calculate the price of the put option. Your solution must clearly specify the risk neutral probabilities, the stock process and the derivative process.