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The current price of a non-dividend paying stock is $30. Use a two-step tree to value...

The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months with u = 1.1 and d = 0.9. Each step is 3 months, the risk-free rate is 8%.

a. $2.545

b. $2.535

c. $2.238

d. $2.275

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