Question: Consider a put option on a non-dividend-paying stock when the stock price is $40, the strike price is $42, the risk-free rate of interest is

Consider a put option on a non-dividend-paying stock when the stock price is $40, the strike price is $42, the risk-free rate of interest is 2%, the volatility is 25% per annum, and the time to maturity is 3 months. Use DerivaGem to determine:
a. The price of the option if it is European (Use Black-Scholes: European)
b. The price of the option if it is American (Use Binomial: American with 100 tree steps)
c. Point B in Figure 11.7

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