What is the price of a European put if the price of the underlying common stock is $20, the exercise price is $20, the risk-free rate is 8%, the...

What is the price of a European put if the price of the underlying common stock is $20, the exercise price is $20, the risk-free rate is 8%, the variance of the price of the underlying stock is 0.36, and the option expires six months from now?

Use both a) a two-steps binomial tree,

b) the Black-Scholes pricing formula