Price the put with binomial trees

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Consider a 3-month European put option on a non-dividend-paying stock, where the stock price is $60, the strike price is $60, the risk-free rate is 3% per annum. Stock price will either move up by 10% or down by 5%, every month. Price the put with binomial trees.

a) $2.10

b) $2.52

c) $2.94

d) $3.37

Reference no: EM13828654

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