Consider a call option for an asset with the following parameters
• Current spot price is $50
• Option expires in 12 months
• Each month the asset could increase in value by 3% or decrease in value by inverse
• The risk free rate is 25 basis points per month
• S0 = $50, T=12, U=1.03, D=1/1.03, R=1.0025
What is the premium of a put with the same strike and time to expiration?