For a two-year European put option, you are given the following information: The stock price is
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For a two-year European put option, you are given the following information:
• The stock price is $35.
• The strike price is $32.
• The continuously compounded risk-free rate is 5%.
• The stock price volatility is 35%.
Using a binomial tree with annual valuations, calculate the price of this option.
(A) Less than $3.00
(B) At least $3.00, but less than $3.40
(C) At least $3.40, but less than $3.80
(D) At least $3.80, but less than $4.20
(E) At least $4.20
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D The fact that the length of each period of the binomial tree is one yea...View the full answer
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