Question: 2 . A share price is currently ( $ 6 3 ) . At the end of each three - month period,

2. A share price is currently \(\$ 63\). At the end of each three-month period, it will change by going up \(\$ 3\) or going down \(\$ 3\). Calculate the value of a six-month American put option with exercise prcie \(\$ 61\). The risk free interest rate is \(4\%\) per year with continuous compunding. You must use both the methods of setting up the delta-hedge portfolio, and the risk-neutral probability method.
2 . A share price is currently \ ( \ $ 6 3 \ ) .

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