A stock price is currently $50. Over each of the next two 1-month periods it
is expected to go up by 10% or down by 8%. The risk-free interest is 6% per annum with
continuous compounding. Calculate the value of a 2-month American put option
(a) with a strike price of $48.
(b) with a strike price of $51.
(c) with a strike price of $60.