Question: A four - step binomial tree is used to price a one - year American put option on an index when the index level is

A four-step binomial tree is used to price a one-year American put option on an index when the index level is 500, the strike price is 500, the dividend yield is 2%, the risk-free rate is 5%, and the volatility is 25% per annum. What is the option price, delta, gamma, and theta? Explain how you would calculate vega and rho.

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