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  3. a stock price is currently $40. over each of the n

A stock price is currently $40. Over each of the next two 3-month periods it...

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Finance

A stock price is currently $40. Over each of the next two 3-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 12% per annum withcontinuous compounding.

(a) What is the value of a 6-month European put option with a strike price of $42? (b) What is the value of a 6-month American put option with a strike price of $42?

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