(b) Consider a three-period binomial model (t = {0, 1, 2, 3}), with a risky non-dividend paying stock, Prudential, which is currently trading for 1,350. In each period the stock can go up by 30% or down by 20%. The risk-free rate is 2% in the first period, 3% in the second period, and 1% in the third period. Using the risk-neutral pricing method, what is the no-arbitrage value today of an at-the- money European put option on Prudential stock with maturity date t = 3? Would the value of the option change if it was American? Explain. [5 marks]