Question: a 5. (4 points) Consider an American put option on a non-dividend-paying stock where the stock price is $460, the strike price is $700, the

a 5. (4 points) Consider an American put option on a non-dividend-paying stock where the stock price is $460, the strike price is $700, the risk-free rate is 3% per annum, the volatility is 15% per month, and the time to maturity is six months. a. (1 point) Calculateu, d, a, and p for a two-step tree. b. (3 points) Value the option using a two-step tree, more specifically, please show the price of this stock at each of the following node: A, B, C, D, E, and F. Please also show the value of this put option at each of the following node: D, E, F, B, C, and A. The two-step tree is shown in the following figure. D B A E F

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