Question: Consider a two-period CRR model with continuously compounded interest rate r = 0.05, S(0)=100, u =1.1, and d =0.9. The payoff is the European at-the-money

Consider a two-period CRR model with continuously compounded interest rate r =

0.05, S(0)=100, u =1.1, and d =0.9. The payoff is the European at-the-money put option

with strike price K = S(0)=100. We take t =1. Compute the price of the option at time

t =0.

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