A stock price is currently $42. The risk-free interest rate is APR 4% with continuous compounding. What
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A stock price is currently $42. The risk-‐free interest rate is APR 4% with continuous compounding. What is the value of a six-‐month American put option with a strike price of $46 using two-‐step binomial option pricing model? Stock price move up by 5% or down by 7% for each three month.
a. Larger than $4.3 but less than $5.0.
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