Use a 3-step binomial tree to value a put option that expires in 6 months’ time. The interest rate is 10% annually continuously compounded. The spot price is $100. U= 1.2 and D = 0.8.  The strike price of the option is $95. Show all of your calculations.   Is this an “In The Money”, “At The Money”, or “Out Of The Money” option?

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.