Question: Use a two period forward (binomial) tree with six month steps to determine the price of a one year Asian arithmetic average strike put option

Use a two period forward (binomial) tree with six month steps to determine the price of a one year Asian arithmetic average strike put option given that

S(0) = 48 r = 0.07 div. rate = 0.03 delta= 0.4.

Do not forget to use risk free probabilities, like p*, in your calculations.

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