Question: Let S = $80, r = 6% (continuously compounded), d = 4%, s = 30%, T = 2. In this situation, the appropriate values of

Let S = $80, r = 6% (continuously compounded), d = 4%, s = 30%, T = 2. In this situation, the appropriate values of u and d are 1.37713 and 0.75578, respectively. Using a 2-step binomial tree, calculate the value of a $90-strike European put option.

Correct a. $15.887

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