Question: Consider a 2-period CRR model with a continuously compounded interest rate r = .08, S(0) = $100, u = 1.2 and d = .80. The

Consider a 2-period CRR model with a continuously compounded interest rate r = .08, S(0) = $100, u = 1.2 and d = .80. The payoff is the European at-the-money put option with strike price K = $100. Let Dt = 1. Compute the price of the put option at time t = 0.

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