Question: Let S = $85, r = 7% (continuously compounded), d = 1%, s = 35%, T = 0.5. In this situation, the appropriate values of

Let S = $85, r = 7% (continuously compounded), d = 1%, s = 35%, T = 0.5. In this situation, the appropriate values of u and d are 1.20925 and 0.85214, respectively. Using a 2-step binomial tree, calculate the value of a $95-strike European put option.

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