5. Suppose an option with a strike price of $30 is written on a stock priced at $26. Over each of the
next two 6-month periods, the stock will go up or down by 10% and the risk-free rate is 5%. (Note
the risk-neutral probability, q, is 0.63 and 1 - q = 0.37).
(a) What would be the price of the option if it were a European put?
(b) What is the price if the put were American?