This is a problem that has THREE questions. Therefore, please choose THREE answers (one choice for each question) to get full credit for this questions. The current price of a non-dividend paying stock is $50 and the volatility of a non-dividend paying stack is 20% per annum. Use a two-step tree to value an American put option on the stock with a strike price of 52 that expires in 1 year. Each step is 6 months the risk-free rate is 7% per annum with continuous compounding. 1. Which of the following is closest to the Cox, Ross, Rubinstein parameter ufor a tree with a 6-month time step? 2. What is the risk-neutral probability? 3. What is the value of the American put option? #1. u 1.5692 #1. - 1.1519 1. - 1.2575 #2. p0.8525 #2. p=0.6214 || 4-1 tr 2. What is the risk-neutral probability? 3. What is the value of the American put option? #1. u= 1.5692 #1. u= 1.1519 #1. - 1.2575 #2. p=0.8525 #2. p=0.6214 #2. p=0.5902 #3. American put value = $3.85 U #3. American put value - $3.19 LW3. American put value $3.55