Question: 10. [6 marks] (a) Consider a 1-year American put option on a non-dividend paying stock when the stock price is $100, the strike price is

10. [6 marks] (a) Consider a 1-year American put option on

10. [6 marks] (a) Consider a 1-year American put option on a non-dividend paying stock when the stock price is $100, the strike price is $100, and the risk-free interest rate is 10% per annum. Calculate the value of the option using a two-step binomial tree with u= 1.1 and d=1/u for each period

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