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We want to price options using the binomial lattice. The current stock price is 105 and the strike price is 100. Assume that the stock

We want to price options using the binomial lattice. The current stock price is 105 and the strike price is 100. Assume that the stock up-trend rate is u=1.1 with probability p=0.4 and the down-trend rate is d=0.9 with probability 1-p=0.6. The annual risk-free rate is r=0.01 (compounded discretely). Assume that the length of a period is one month.

Find the price of a 5-month American put option.

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