Question: This is two period American put option model. Underlying asset price at current time is $100 and u(up factor in the binomial tree) is 1.2

This is two period American put option model. Underlying asset price at current time is $100 and u(up factor in the binomial tree) is 1.2 and d(down factor in the binomial tree) is 0.8. Exercise price is $90 and risk free rate is 10%.

a). What is the put option price at current time?

b). What is the time value of the put option at current time?

c). What is the delta of the call option between the current time and the next period? (5 point

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