Question: Let S = $45, K = $50, r = 3% (continuously compounded), T = 0.5, and d = 0. Let u = 1.35, d =

Let S = $45, K = $50, r = 3% (continuously compounded), T = 0.5, and d = 0. Let u = 1.35, d = 0.7, and n = 1. What are D and B for a European put?

a. D = 0.8260; B = 35.4286
b. D = 0.5616; B = 47.5787
c. D = 0.6325; B = 37.8510
d. D = 0.7634; B = 22.7863
e. D = 0.5351; B = 35.1636

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