Question: Using a binomial tree, when calculating the price of a $40 strike 6-month European put option, using 3-month intervals as the time period, what is

  1. Using a binomial tree, when calculating the price of a $40 strike 6-month European put option, using 3-month intervals as the time period, what is (Stock Share Purchased in the replicating portfolio) at the first node (Time 0)? Assume the following data: S = $39.70, = 0%, r = 5.0%, = 0.35.

    -0.4944

    -0.5344

    -0.5688

    -0.4296

    -0.0700

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