Assume that a stock trading for $30 today will be worth either $25 or $35 in two
years. A riskfree asset offers an annualized return continuously compounded
over that time period.
What is the price today of a twoyear put option on this stock with a strike price of $32
The maximum error is

a. 1.52
b. 2.47
c. 1.82
d. None of these answers
e. 2.07