A stock price is currently $50. Over each of the next two three-month periods it is expected to go up by 5% or down by 5%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a six-month American put option with a strike price of $50?
*Equations you may find helpful:
p = (e^(rΔt)-d) / (u-d)
f = e^(-rΔt) * (fu*p + fd*(1-p))
(required precision 0.01 +/- 0.01)
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