Question: Consider a 2 time binomial tree model for a stock price with u = 0.2 and d = 0.2, r = 0.05. Assume S(0) =

Consider a 2 time binomial tree model for a stock price with u = 0.2 and d = 0.2, r = 0.05. Assume S(0) = 100.

(a) Find the price of a European put option at time 0 and 1 with strike K = 104 and expiration at time 2.

(b) Find the price of an American put option at time 0 and 1 with strike K = 104 and expiration at time 2.

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