Example: American put 221
Consider a traded asset (stock) with current price S = 100USD, an American put
with E = 100USD, T = 1year, 3 periods, r = 5%p.a.,
S
(H) = 125USD and S 1
(T) = 80USD. Determine the price of the 1
derivative?
Derivative securities: Options - Binomial asset pricing model