I am trying to solve a question of American Put Option pricing as below.
Build a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with: T=.25 years, S0=100, r=2%, σ=30% and a dividend yield of c=1%. Compute the fair value of an American put option with strike K=110 and maturity n=15 periods.
I built the stock and option lattice and my model is showing the price of the American put option is 10.89 but this is not the correct answer. I am wondering if anyone can assist in guide me on how to solve and find the correct American put option price? Thanks.