What is the fair value for a two-year American put option with a strike price of $85 over a stock which is trading at $86.15 which has a volatility of 37% when the risk free rate is 1.75% using the two step binomial tree? a) What is the delta of this option? b) What is the probability of a down movement in this stock? c) What is the probability of an up movement in this stock? d) What is the proportional move up for this stock e) What is the proportional move down for this stock f) What would be the value of the call option with the same strike price?

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