Question: For the single-period evolution given in the preceding figure, consider an American put option with maturity date 1 and strike price k = $0.94 on

For the single-period evolution given in the preceding figure, consider an American put option with date 1 and k = $0.94 on the three-period zero-coupon bond. What is the arbitrage-free price of this put option? Is early exercise (at time 0) optimal?

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The value exercised at time zero is k B03 094 0897710 004229 The value alive is giv... View full answer

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